On occupation times in the red of Lévy risk models (Q784389): Difference between revisions

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-.1016/j.insmatheco.2020.02.011
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+Some formulae for a new type of path-dependent option
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+Exit identities for Lévy processes observed at Poisson arrival times
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+On future drawdowns of Lévy processes
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+Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
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+STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
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+Q4888858
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+Approximation with generalized hyperexponential distributions: Weak convergence results
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+Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
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+Optimality of multi-refraction control strategies in the dual model
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+How long is the surplus below zero?
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+Phase-type Fitting of scale functions for spectrally negative Lévy processes
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+Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
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+On the distribution of cumulative Parisian ruin
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+Optimality of Refraction Strategies for Spectrally Negative Lévy Processes
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+Q2915817
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Fluctuations of Lévy processes with applications. Introductory lectures
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+Refracted Lévy processes
@@ Property / cites work: Refracted Lévy processes / rank @@
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+Occupation times of refracted Lévy processes
@@ Property / cites work: Occupation times of refracted Lévy processes / rank @@
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+On magnitude, asymptotics and duration of drawdowns for Lévy models
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+Occupation times of spectrally negative Lévy processes with applications
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+An insurance risk model with Parisian implementation delays
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+Q5339472
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+Fluctuations of Omega-killed spectrally negative Lévy processes
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+On weighted occupation times for refracted spectrally negative Lévy processes
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+Two-sided discounted potential measures for spectrally negative Lévy processes
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+Step Options
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+Parisian ruin probability for spectrally negative Lévy processes
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+Occupation times of intervals until first passage times for spectrally negative Lévy processes
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+On the time spent in the red by a refracted L\'evy risk process
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+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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+On a generalization of the arc-sine law
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+Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2020.02.011
@@ Property / DOI: 10.1016/J.INSMATHECO.2020.02.011 / rank @@
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