| Publication | Date of Publication | Type |
|---|
De Finetti's control problem with a concave bound on the control rate
Journal of Applied Probability | 2024-10-11 | Paper |
A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin
Statistics & Probability Letters | 2024-02-13 | Paper |
| Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin | 2023-10-27 | Paper |
| De Finetti's control problem with a concave bound on the control rate | 2022-07-29 | Paper |
A stochastic control problem with linearly bounded control rates in a Brownian model
SIAM Journal on Control and Optimization | 2021-09-22 | Paper |
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
Scandinavian Actuarial Journal | 2019-09-10 | Paper |
| De Finetti's control problem with Parisian ruin for spectrally negative L\'evy processes | 2019-06-12 | Paper |
| Actuarial finance. Derivatives, quantitative models and risk management | 2019-04-23 | Paper |
Pricing occupation-time options in a mixed-exponential jump-diffusion model
Applied Mathematical Finance | 2018-09-19 | Paper |
On the distribution of cumulative Parisian ruin
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Parisian ruin for a refracted Lévy process
Insurance Mathematics & Economics | 2017-05-24 | Paper |
Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
Journal of Applied Probability | 2016-08-11 | Paper |
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Advances in Applied Probability | 2016-05-17 | Paper |
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Advances in Applied Probability | 2016-05-17 | Paper |
A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
Statistics & Probability Letters | 2016-04-22 | Paper |
A martingale representation for the maximum of a Lévy process
Communications on Stochastic Analysis | 2016-03-04 | Paper |
On the time spent in the red by a refracted Lévy risk process
(available as arXiv preprint) | 2015-02-26 | Paper |
| On the time spent in the red by a refracted Lévy risk process | 2015-02-26 | Paper |
An insurance risk model with Parisian implementation delays
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
| Gerber-Shiu functionals at Parisian ruin for L\'evy insurance risk processes | 2014-07-25 | Paper |
Occupation times of intervals until first passage times for spectrally negative Lévy processes
Stochastic Processes and their Applications | 2014-02-07 | Paper |
De Finetti's optimal dividends problem with an affine penalty function at ruin
Insurance Mathematics & Economics | 2012-02-10 | Paper |
The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Occupation times of spectrally negative Lévy processes with applications
Stochastic Processes and their Applications | 2011-10-11 | Paper |
Occupation times of spectrally negative Lévy processes with applications
Stochastic Processes and their Applications | 2011-10-11 | Paper |
| A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing | 2010-11-14 | Paper |
A Lévy Insurance Risk Process with Tax
Journal of Applied Probability | 2008-08-05 | Paper |
Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
Journal of Applied Probability | 2008-02-22 | Paper |
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
Stochastic Analysis and Applications | 2007-09-21 | Paper |
| Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process | 2007-07-25 | Paper |
