Jean-François Renaud

Available identifiers

zbMath Open renaud.jean-francoisWikidataQ102308548 ScholiaQ102308548MaRDI QIDQ274167

List of research outcomes

Publication	Date of Publication	Type
A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin	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	2021-09-22	Paper
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes	2019-09-10	Paper
De Finetti's control problem with Parisian ruin for spectrally negative L\'evy processes	2019-06-12	Paper
Actuarial Finance	2019-04-23	Paper
Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model	2018-09-19	Paper
On the distribution of cumulative Parisian ruin	2017-11-23	Paper
Parisian ruin for a refracted Lévy process	2017-05-24	Paper
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes	2016-08-11	Paper
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view	2016-05-17	Paper
A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes	2016-04-22	Paper
https://portal.mardi4nfdi.de/entity/Q2787501	2016-03-04	Paper
On the time spent in the red by a refracted L\'evy risk process	2015-02-26	Paper
An insurance risk model with Parisian implementation delays	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	2014-02-07	Paper
The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure	2012-02-10	Paper
De Finetti's optimal dividends problem with an affine penalty function at ruin	2012-02-10	Paper
Occupation times of spectrally negative Lévy processes with 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	2008-08-05	Paper
Distribution of the Present Value of Dividend Payments in a Lévy Risk Model	2008-02-22	Paper
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging	2007-09-21	Paper
Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process	2007-07-25	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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