Risk processes perturbed by α-stable Lévy motion

Cites Work

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Subexponentiality and infinite divisibility
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Risk theory for the compound Poisson process that is perturbed by diffusion
Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion

Cited In (47)

Old and new examples of scale functions for spectrally negative Lévy processes
Characterizations of stable laws via functional equations
Asymptotic analysis of Lévy-driven tandem queues
Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
On a generalization of the Gerber-Shiu function to path-dependent penalties
Applications of factorization embeddings for Lévy processes
Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
Cramér's estimate for stable processes with power drift
Ruin probabilities in classical risk models with gamma claims
Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
Ruin probabilities and overshoots for general Lévy insurance risk processes
Distribution of suprema for generalized risk processes
On the drawdown of completely asymmetric Lévy processes
Ruin probabilities for competing claim processes
An optimal dividends problem with transaction costs for spectrally negative Lévy processes
Some properties of extreme stable laws and related infinitely divisible random variables
Fourier inversion formulas in option pricing and insurance
A note on scale functions and the time value of ruin for Lévy insurance risk processes
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
Lévy insurance risk process with Poissonian taxation
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
A Lévy Insurance Risk Process with Tax
Strategies for dividend distribution: a review
On the supremum of the spectrally negative stable process with drift
Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
On fair reinsurance premiums; capital injections in a perturbed risk model
On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
Occupation times of refracted Lévy processes
Refracted Lévy processes
On the complete monotonicity of the compound geometric convolution with applications in risk theory
Ruin probabilities and decompositions for general perturbed risk processes.
Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
Tail equivalence relationships for ruin probabilities in several risk models
On optimal periodic dividend strategies for Lévy risk processes
On the refracted-reflected spectrally negative Lévy processes
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
On the expected discounted penalty function for Lévy risk processes
Exact simulation of a truncated Lévy subordinator
A note on a Lévy insurance risk model under periodic dividend decisions

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