Ronnie Loeffen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Stochastic optimal control of Lévy tax processes with bailouts Insurance Mathematics & Economics	2026-03-12	Paper
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 Insurance Mathematics & Economics	2020-02-03	Paper
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution Journal of Statistical Physics	2019-08-01	Paper
Discounted penalty function at Parisian ruin for Lévy insurance risk process Insurance Mathematics & Economics	2018-11-19	Paper
Discounted penalty function at Parisian ruin for Lévy insurance risk process Insurance Mathematics & Economics	2018-11-19	Paper
Option pricing in a one-dimensional affine term structure model via spectral representations SIAM Journal on Financial Mathematics	2018-08-10	Paper
Smoothness of continuous state branching with immigration semigroups Journal of Mathematical Analysis and Applications	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 Quantitative Finance	2014-02-20	Paper
Occupation times of intervals until first passage times for spectrally negative Lévy processes Stochastic Processes and their Applications	2014-02-07	Paper
Parisian ruin probability for spectrally negative Lévy processes Bernoulli	2013-05-30	Paper
Parisian ruin probability for spectrally negative Lévy processes Bernoulli	2013-05-30	Paper
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes Journal of Applied Probability	2012-04-20	Paper
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes Journal of Applied Probability	2012-04-20	Paper
An optimal dividends problem with transaction costs for spectrally negative Lévy processes Insurance Mathematics & Economics	2012-02-10	Paper
De Finetti's optimal dividends problem with an affine penalty function at ruin Insurance Mathematics & Economics	2012-02-10	Paper
Absolute ruin in the Ornstein-Uhlenbeck type risk model	2010-06-11	Paper
Refracted Lévy processes Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2010-06-07	Paper
Refracted Lévy processes Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2010-06-07	Paper
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density Journal of Applied Probability	2009-04-14	Paper
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes The Annals of Applied Probability	2008-11-27	Paper

Research outcomes over time

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