IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v121y2011i11p2629-2641.html
   My bibliography  Save this item

Occupation times of spectrally negative Lévy processes with applications

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
  2. Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
  3. Zhou, Jiang & Wu, Lan, 2015. "The time of deducting fees for variable annuities under the state-dependent fee structure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 125-134.
  4. Wenyuan Wang & Xiaowen Zhou, 2019. "Potential Densities for Taxed Spectrally Negative Lévy Risk Processes," Risks, MDPI, vol. 7(3), pages 1-11, August.
  5. Chunhao Cai & Bo Li, 2018. "Occupation Times of Intervals Until Last Passage Times for Spectrally Negative Lévy Processes," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2194-2215, December.
  6. David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
  7. Mohamed Amine Lkabous, 2019. "Poissonian occupation times of spectrally negative L\'evy processes with applications," Papers 1907.09990, arXiv.org.
  8. Yingchun Deng & Xuan Huang & Ya Huang & Xuyan Xiang & Jieming Zhou, 2020. "n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes," Indian Journal of Pure and Applied Mathematics, Springer, vol. 51(1), pages 345-360, March.
  9. Landriault, David & Li, Bin & Shi, Tianxiang & Xu, Di, 2019. "On the distribution of classic and some exotic ruin times," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 38-45.
  10. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
  11. Kathrin Glau, 2015. "Feynman-Kac formula for L\'evy processes with discontinuous killing rate," Papers 1502.07531, arXiv.org, revised Nov 2015.
  12. A. E. Kyprianou & J. C. Pardo & J. L. Pérez, 2014. "Occupation Times of Refracted Lévy Processes," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1292-1315, December.
  13. Mohamed Amine Lkabous, 2019. "A note on Parisian ruin under a hybrid observation scheme," Papers 1907.09993, arXiv.org.
  14. Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
  15. Landriault, David & Li, Bin & Lkabous, Mohamed Amine & Wang, Zijia, 2023. "Bridging the first and last passage times for Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 308-334.
  16. Li, Danping & Li, Dongchen & Young, Virginia R., 2017. "Optimality of excess-loss reinsurance under a mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 82-89.
  17. Li, Shu & Zhou, Xiaowen, 2022. "The Parisian and ultimate drawdowns of Lévy insurance models," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 140-160.
  18. Lan Wu & Jiang Zhou & Shuang Yu, 2017. "Occupation Times of General Lévy Processes," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1565-1604, December.
  19. Li, Yingqiu & Zhou, Xiaowen, 2014. "On pre-exit joint occupation times for spectrally negative Lévy processes," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 48-55.
  20. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
  21. Kathrin Glau, 2016. "A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates," Finance and Stochastics, Springer, vol. 20(4), pages 1021-1059, October.
  22. Czarna, Irmina & Renaud, Jean-François, 2016. "A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 54-61.
  23. Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
  24. Danping Li & Dongchen Li & Virginia R. Young, 2017. "Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion," Papers 1703.01984, arXiv.org, revised Mar 2017.
  25. Lkabous, Mohamed Amine, 2019. "A note on Parisian ruin under a hybrid observation scheme," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 147-157.
  26. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
  27. Li, Bo & Palmowski, Zbigniew, 2018. "Fluctuations of Omega-killed spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3273-3299.
  28. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
  29. Lkabous, Mohamed Amine & Czarna, Irmina & Renaud, Jean-François, 2017. "Parisian ruin for a refracted Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 153-163.
  30. Jean-François Renaud, 2019. "De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes," Risks, MDPI, vol. 7(3), pages 1-11, July.
  31. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2020. "On occupation times in the red of Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 17-26.
  32. Albrecher, Hansjörg & Ivanovs, Jevgenijs, 2017. "Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 643-656.
  33. Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
  34. Hansjörg Albrecher & Jevgenijs Ivanovs, 2013. "A Risk Model with an Observer in a Markov Environment," Risks, MDPI, vol. 1(3), pages 1-14, November.
  35. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
  36. Li, Yingqiu & Wei, Yushao & Peng, Zhaohui, 2021. "Occupation times for spectrally negative Lévy processes on the last exit time," Statistics & Probability Letters, Elsevier, vol. 175(C).
  37. Xiaoqing Liang & Virginia R. Young, 2020. "Minimizing the Probability of Lifetime Exponential Parisian Ruin," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 1036-1064, March.
  38. Xuan Huang & Jieming Zhou, 2022. "General Draw-Down Times for Refracted Spectrally Negative Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 875-891, June.
  39. Li, Yingqiu & Zhou, Xiaowen & Zhu, Na, 2015. "Two-sided discounted potential measures for spectrally negative Lévy processes," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 67-76.
  40. Zhenyu Cui, 2014. "Omega risk model with tax," Papers 1403.7680, arXiv.org.
  41. Xuebing Kuang & Xiaowen Zhou, 2017. "n -Dimensional Laplace Transforms of Occupation Times for Spectrally Negative Lévy Processes," Risks, MDPI, vol. 5(1), pages 1-14, January.
  42. Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di, 2018. "Poissonian potential measures for Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 152-166.
  43. Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud, 2016. "Parisian ruin for a refracted L\'evy process," Papers 1603.09324, arXiv.org, revised Mar 2017.
  44. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.