Poissonian potential measures for Lévy risk models
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- Discounted penalty function at Parisian ruin for Lévy insurance risk process
Cites work
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- A temporal approach to the Parisian risk model
- An insurance risk model with Parisian implementation delays
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Exit identities for Lévy processes observed at Poisson arrival times
- Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
- Fluctuations of Lévy processes with applications. Introductory lectures
- From ruin to bankruptcy for compound Poisson surplus processes
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- scientific article; zbMATH DE number 2149874 (Why is no real title available?)
- Lévy processes with adaptable exponent
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- On a risk model with randomized dividend-decision times
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- On taxed spectrally negative Lévy processes with draw-down stopping
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Parisian ruin for a refracted Lévy process
- Parisian ruin probability for spectrally negative Lévy processes
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Randomized onservation periods for the compound Poisson risk model: dividends
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Stochastic modeling and fair valuation of drawdown insurance
- The theory of scale functions for spectrally negative Lévy processes
Cited in
(17)- A note on Parisian ruin under a hybrid observation scheme
- Explosive Poisson shot noise processes with applications to risk reserves
- On the distribution of classic and some exotic ruin times
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- Lévy insurance risk process with Poissonian taxation
- m-Double Poisson Lévy markets
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Poissonian occupation times of spectrally negative Lévy processes with applications
- A refracted Lévy process with delayed dividend pullbacks
- On the area in the red of Lévy risk processes and related quantities
- Lévy bandits under Poissonian decision times
- Poissonian occupation times of refracted Lévy processes with applications
- On the range of a Lévy risk process with fair valuation of insurance contracts
- Laguerre series expansion for scale functions and its applications in risk theory
- Last exit time until first exit time for spectrally negative Lévy processes
- On the longest/shortest negative excursion of a Lévy risk process and related quantities
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