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n-dimensional Laplace transforms of occupation times for spectrally negative Lévy processes

Kuang, Xuebing; Zhou, Xiaowen - In: Risks 5 (2017) 1, pp. 1-14

Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two.

Persistent link: https://www.econbiz.de/10011709579

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wang, Wenyuan; Chen, Ping; Li, Shuanming - In: Insurance / Mathematics & economics 91 (2020), pp. 12-25

Persistent link: https://www.econbiz.de/10012241972

On series expansions for scale functions and other ruin-related quantities

Landriault, David; Willmot, Gordon E. - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 292-306

Persistent link: https://www.econbiz.de/10012262737

On the occupation times in a delayed Sparre Andersen risk model with exponential claims

Jin, Can; Li, Shuanming; Wu, Xueyuan - In: Insurance / Mathematics & economics 71 (2016), pp. 304-316

Persistent link: https://www.econbiz.de/10011630855

Dividends : from refracting to ratcheting

Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin - In: Insurance / Mathematics & economics 83 (2018), pp. 47-58

Persistent link: https://www.econbiz.de/10011944095

On fair reinsurance premiums : capital injections in a perturbed risk model

Ben Salah, Zied; Garrido, José - In: Insurance / Mathematics & economics 82 (2018), pp. 11-20

Persistent link: https://www.econbiz.de/10011929775

n-dimensional Laplace transforms of occupation times for spectrally negative Lévy processes

Kuang, Xuebing; Zhou, Xiaowen - In: Risks : open access journal 5 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011636384

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146

Persistent link: https://www.econbiz.de/10011712427

The Gerber-Shiu discounted penalty function : a review from practical perspectives

He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, … - In: Insurance / Mathematics & economics 109 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014282466

Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes

Nguyen, Duy Phat; Borovkov, Konstantin A. - In: Insurance / Mathematics & economics 110 (2023), pp. 72-81

Persistent link: https://www.econbiz.de/10014282476

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