A note on scale functions and the time value of ruin for Lévy insurance risk processes (Q659186): Difference between revisions

@@ Property / cites work @@
+A Lévy Insurance Risk Process with Tax
@@ Property / cites work: A Lévy Insurance Risk Process with Tax / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of Volterra integral and integro-differential equations of convolution type by using operational matrices of piecewise constant orthogonal functions
+Normal rank
@@ Property / cites work @@
+Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+On a generalization of the Gerber-Shiu function to path-dependent penalties
+Normal rank
@@ Property / cites work @@
+Q4082108
@@ Property / cites work: Q4082108 / rank @@
+Normal rank
@@ Property / cites work @@
+A quintuple law for Markov additive processes with phase-type jumps
+Normal rank
@@ Property / cites work @@
+Conditioned stable Lévy processes and the Lamperti representation
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and penalty functions with stochastic rates of interest
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function at ruin of a surplus process with interest.
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Some explicit identities associated with positive self-similar Markov processes
+Normal rank
@@ Property / cites work @@
+A note on \(r\)-balayages of matrix-exponential Lévy processes
+Normal rank
@@ Property / cites work @@
+Passage times for a spectrally negative Lévy process with applications to risk theory
+Normal rank
@@ Property / cites work @@
+On the distribution of the surplus prior to ruin
@@ Property / cites work: On the distribution of the surplus prior to ruin / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of the claim causing ruin
@@ Property / cites work: On the distribution of the claim causing ruin / rank @@
+Normal rank
@@ Property / cites work @@
+Overshoots and undershoots of Lévy processes
@@ Property / cites work: Overshoots and undershoots of Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Risk processes perturbed by α-stable Lévy motion
+Normal rank
@@ Property / cites work @@
+On The Expected Discounted Penalty function for Lévy Risk Processes
+Normal rank
@@ Property / cites work @@
+The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
+Normal rank
@@ Property / cites work @@
+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
+Normal rank
@@ Property / cites work @@
+Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and decompositions for general perturbed risk processes.
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Refracted Lévy processes
@@ Property / cites work: Refracted Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
+Normal rank
@@ Property / cites work @@
+Exact and asymptotic \(n\)-tuple laws at first and last passage
+Normal rank
@@ Property / cites work @@
+Convexity and smoothness of scale functions and de Finetti's control problem
+Normal rank
@@ Property / cites work @@
+General tax Structures and the Lévy Insurance Risk Model
+Normal rank
@@ Property / cites work @@
+Q4791731
@@ Property / cites work: Q4791731 / rank @@
+Normal rank
@@ Property / cites work @@
+Completely asymmetric Lévy processes confined in a finite interval
+Normal rank
@@ Property / cites work @@
+Analysis of a defective renewal equation arising in ruin theory
+Normal rank
@@ Property / cites work @@
+An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
+Normal rank
@@ Property / cites work @@
+An optimal dividends problem with transaction costs for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function for a perturbed risk process driven by a subordinator
+Normal rank
@@ Property / cites work @@
+Q4662395
@@ Property / cites work: Q4662395 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
+Normal rank
@@ Property / cites work @@
+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
+Normal rank
@@ Property / cites work @@
+Evaluating Scale Functions of Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+On the moments of the surplus process perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+Spectrally negative Lévy processes with applications in risk theory
+Normal rank
@@ Property / cites work @@
+On a Classical Risk Model with a Constant Dividend Barrier
+Normal rank