Ronnie Loeffen

Available identifiers

zbMath Open loeffen.ronnie-lMaRDI QIDQ1622528

List of research outcomes

Publication	Date of Publication	Type
Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration	2022-08-30	Paper
The equivalence of two tax processes	2020-02-03	Paper
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution	2019-08-01	Paper
Discounted penalty function at Parisian ruin for Lévy insurance risk process	2018-11-19	Paper
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations	2018-08-10	Paper
Smoothness of continuous state branching with immigration semigroups	2017-12-12	Paper
On obtaining simple identities for overshoots of spectrally negative L\'evy processes	2014-10-20	Paper
Semi-closed form cubature and applications to financial diffusion models	2014-02-20	Paper
Occupation times of intervals until first passage times for spectrally negative Lévy processes	2014-02-07	Paper
Parisian ruin probability for spectrally negative Lévy processes	2013-05-30	Paper
Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes	2012-04-20	Paper
An optimal dividends problem with transaction costs for spectrally negative Lévy processes	2012-02-10	Paper
De Finetti's optimal dividends problem with an affine penalty function at ruin	2012-02-10	Paper
Absolute ruin in the Ornstein-Uhlenbeck type risk model	2010-06-11	Paper
Refracted Lévy processes	2010-06-07	Paper
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density	2009-04-14	Paper
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes	2008-11-27	Paper

Research outcomes over time

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