| Publication | Date of Publication | Type |
|---|
| Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes | 2024-10-08 | Paper |
| Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions | 2024-08-20 | Paper |
| Exit times for a discrete Markov additive process | 2024-06-17 | Paper |
| Gerber-Shiu theory for discrete risk processes in a regime switching environment | 2024-04-18 | Paper |
| Perpetual American options with asset-dependent discounting | 2024-01-19 | Paper |
| Double continuation regions for American options under Poisson exercise opportunities | 2023-09-28 | Paper |
| Time-dependent probability density function for partial resetting dynamics | 2023-05-23 | Paper |
| A dual risk model with additive and proportional gains: ruin probability and dividends | 2023-05-05 | Paper |
| Exact asymptotics of ruin probabilities with linear Hawkes arrivals | 2023-04-06 | Paper |
| Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process | 2023-03-21 | Paper |
| Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes | 2023-03-09 | Paper |
| Moments of exponential functionals of L\'{e}vy processes on a deterministic horizon -- identities and explicit expressions | 2023-03-06 | Paper |
| Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (LD-QBD) | 2023-02-04 | Paper |
| Sensitivity analysis of Quasi-Birth-and-Death processes | 2023-02-04 | Paper |
| Subexponential potential asymptotics with applications | 2022-12-13 | Paper |
| Last passage American cancellable option in L\'evy models | 2022-12-02 | Paper |
| On busy periods of the critical GI/G/1 queue and BRAVO | 2022-11-09 | Paper |
| Ruin probabilities for risk process in a regime-switching environment | 2022-10-26 | Paper |
| Matrix-analytic methods for the analysis of stochastic fluid-fluid models | 2022-07-18 | Paper |
| First exit time for a discrete-time parallel queue | 2022-06-16 | Paper |
| Persistence of heavy-tailed sample averages: principle of infinitely many big jumps | 2022-05-10 | Paper |
| Importance sampling for maxima on trees | 2022-04-28 | Paper |
| Branching processes with immigration in atypical random environment | 2022-04-04 | Paper |
| Modelling social media contagion using Hawkes processes | 2022-03-16 | Paper |
| Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model | 2021-12-18 | Paper |
| A multiplicative version of the Lindley recursion | 2021-11-29 | Paper |
| On th exact asymptotics of exit time from a cone of an isotropic alpha-self-similar Markov process with a skew-product structure | 2021-11-29 | Paper |
| Yaglom limit for stochastic fluid models | 2021-10-12 | Paper |
| Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem | 2021-08-04 | Paper |
| Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues | 2021-01-22 | Paper |
| Extreme positions of regularly varying branching random walk in random and time-inhomogeneous environment | 2021-01-13 | Paper |
| How much we gain by surplus-dependent premiums -- asymptotic analysis of ruin probability | 2021-01-09 | Paper |
| The Leland-Toft optimal capital structure model under Poisson observations | 2020-11-11 | Paper |
| Distributional properties of fluid queues busy period and first passage times | 2020-11-08 | Paper |
| Modeling social media contagion using Hawkes processes | 2020-10-24 | Paper |
| Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process | 2020-09-24 | Paper |
| Exit Times for a Discrete Markov Additive Process | 2020-08-15 | Paper |
| Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process | 2020-08-03 | Paper |
| Multivariate L\'evy-type drift change detection and mortality modeling | 2020-07-23 | Paper |
| Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps | 2020-07-03 | Paper |
| An application of dynamic programming to assign pressing tanks at wineries | 2020-06-17 | Paper |
| Double continuation regions for American and Swing options with negative discount rate in Lévy models | 2020-05-14 | Paper |
| Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions | 2020-04-14 | Paper |
| Extremes of multitype branching random walks: heaviest tail wins | 2019-12-09 | Paper |
| Quickest drift change detection in Lévy-type force of mortality model | 2019-11-15 | Paper |
| Slower variation of the generation sizes induced by heavy-tailed environment for geometric branching | 2019-09-25 | Paper |
| Valuation of contingent convertible catastrophe bonds -- the case for equity conversion | 2019-09-19 | Paper |
| Optimal dividend payments for a two-dimensional insurance risk process | 2019-09-03 | Paper |
| Yaglom limit for Stochastic Fluid Models | 2019-08-28 | Paper |
| The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case | 2019-07-02 | Paper |
| Number of claims and ruin time for a refracted risk process | 2019-07-02 | Paper |
| On the optimal dividend problem in the dual model with surplus-dependent premiums | 2018-11-27 | Paper |
| Discounted penalty function at Parisian ruin for Lévy insurance risk process | 2018-11-19 | Paper |
| Fluctuations of Omega-killed spectrally negative Lévy processes | 2018-10-31 | Paper |
| Parisian ruin for the dual risk process in discrete-time | 2018-10-31 | Paper |
| A note on chaotic and predictable representations for Itô–Markov additive processes | 2018-10-09 | Paper |
| A note on optimal expected utility of dividend payments with proportional reinsurance | 2018-08-31 | Paper |
| A note on first passage probabilities of a L\'evy process reflected at a general barrier | 2018-08-08 | Paper |
| Two-dimensional ruin probability for subexponential claim size | 2018-08-08 | Paper |
| Discrete time ruin probability with Parisian delay | 2018-07-17 | Paper |
| Yaglom limit for stable processes in cones | 2018-05-15 | Paper |
| Pricing insurance drawdown-type contracts with underlying Lévy assets | 2018-04-12 | Paper |
| Matrix geometric approach for random walks: Stability condition and equilibrium distribution | 2018-02-19 | Paper |
| Optimizing the expected utility of dividend payments for a Cramér–Lundberg risk process | 2017-11-30 | Paper |
| Parisian quasi-stationary distributions for asymmetric Lévy processes | 2017-10-06 | Paper |
| On future drawdowns of Lévy processes | 2017-06-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2975948 | 2017-04-12 | Paper |
| The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model | 2016-11-22 | Paper |
| On the optimal dividend problem for insurance risk models with surplus-dependent premiums | 2016-04-22 | Paper |
| Ruin probabilities with dependence on the number of claims within a fixed time window | 2016-04-21 | Paper |
| Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process | 2016-03-22 | Paper |
| Problem optymalizacyjny de Finettiego dla proces\'ow L\'evy'ego | 2016-03-18 | Paper |
| The distribution of the supremum for spectrally asymmetric Lévy processes | 2015-08-17 | Paper |
| On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function | 2015-07-27 | Paper |
| A Lévy input fluid queue with input and workload regulation | 2014-11-25 | Paper |
| A note on Wiener-Hopf factorization for Markov additive processes | 2014-09-26 | Paper |
| Dividend problem with Parisian delay for a spectrally negative Lévy risk process | 2014-06-30 | Paper |
| Heavy-Tailed Branching Process with Immigration | 2014-01-30 | Paper |
| On time reversal of piecewise deterministic Markov processes | 2014-01-17 | Paper |
| Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations | 2013-11-25 | Paper |
| Two-Dimensional Fluid Queues with Temporary Assistance | 2013-07-29 | Paper |
| Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums | 2013-06-06 | Paper |
| Parisian ruin probability for spectrally negative Lévy processes | 2013-05-30 | Paper |
| Quasi-Stationary Workload in a Lévy-Driven Storage System | 2012-10-29 | Paper |
| Occupation densities in solving exit problems for Markov additive processes and their reflections | 2012-08-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3108752 | 2012-01-05 | Paper |
| Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process | 2012-01-04 | Paper |
| Loss rate for a general Lévy process with downward periodic barrier | 2011-10-25 | Paper |
| Quantile hedging for equity-linked contracts | 2011-08-01 | Paper |
| A Lévy input model with additional state-dependent services | 2011-07-08 | Paper |
| De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process | 2011-06-20 | Paper |
| Quantile hedging for an insider | 2011-05-30 | Paper |
| On Perturbed Random Walks | 2011-01-13 | Paper |
| Tail Asymptotics for a Random Sign Lindley Recursion | 2010-04-08 | Paper |
| Cramér asymptotics for finite time first passage probabilities of general Lévy processes | 2009-09-14 | Paper |
| Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results | 2009-01-13 | Paper |
| Fluctuations of spectrally negative Markov additive processes | 2008-09-25 | Paper |
| A two-dimensional ruin problem on the positive quadrant | 2008-08-22 | Paper |
| The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process | 2008-05-12 | Paper |
| Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process | 2008-02-22 | Paper |
| Tail Asymptotics of the Supremum of a Regenerative Process | 2008-02-22 | Paper |
| On the optimal dividend problem for a spectrally negative Lévy process | 2008-01-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3445097 | 2007-06-08 | Paper |
| Quasi-stationary distributions for Lévy processes | 2006-11-06 | Paper |
| On the exact asymptotics of the busy period in GI/G/1 queues | 2006-11-02 | Paper |
| The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk | 2005-11-08 | Paper |
| Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times | 2005-11-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5461896 | 2005-07-27 | Paper |
| Cyclic queueing networks with subexponential service times | 2005-04-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4662394 | 2005-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4818611 | 2004-09-29 | Paper |
| On the integral of the workload process of the single server queue | 2004-02-08 | Paper |
| Lundberg inequalities in a diffusion environment | 2003-11-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4431521 | 2003-10-22 | Paper |
| A tandem queue with a gate mechanism | 2003-06-09 | Paper |
| A technique for exponential change of measure for Markov processes | 2003-05-25 | Paper |
| A note on bounds in the SMP fluid models | 2001-07-19 | Paper |
| On-off fluid models in heavy traffic environment | 2000-03-30 | Paper |
| The superposition of alternating on-off flows and a fluid model | 1999-11-23 | Paper |
| A note on martingale inequalities for fluid models | 1998-01-22 | Paper |
| Maxima over random time intervals for heavy-tailed compound renewal and L\'evy processes | N/A | Paper |
| Fluctuations of Omega-killed level-dependent spectrally negative L\'evy processes | N/A | Paper |
| Branching random walk and log-slowly varying tails | N/A | Paper |
