Risk processes perturbed by α-stable Lévy motion
From MaRDI portal
Publication:4235014
Cites work
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Subexponentiality and infinite divisibility
Cited in
(47)- Some properties of extreme stable laws and related infinitely divisible random variables
- Ruin probabilities and decompositions for general perturbed risk processes.
- Exact simulation of a truncated Lévy subordinator
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- Characterizations of stable laws via functional equations
- Ruin probabilities in classical risk models with gamma claims
- Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
- Occupation times of refracted Lévy processes
- Applications of factorization embeddings for Lévy processes
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Refracted Lévy processes
- Asymptotic analysis of Lévy-driven tandem queues
- 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
- A Lévy Insurance Risk Process with Tax
- On optimal periodic dividend strategies for Lévy risk processes
- On the complete monotonicity of the compound geometric convolution with applications in risk theory
- On the refracted-reflected spectrally negative Lévy processes
- Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
- Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
- Strategies for dividend distribution: a review
- Tail equivalence relationships for ruin probabilities in several risk models
- Lévy insurance risk process with Poissonian taxation
- A note on a Lévy insurance risk model under periodic dividend decisions
- 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
- Cramér's estimate for stable processes with power drift
- On the drawdown of completely asymmetric Lévy processes
- Old and new examples of scale functions for spectrally negative Lévy processes
- On the expected discounted penalty function for Lévy risk processes
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Distribution of suprema for generalized risk processes
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- Fourier inversion formulas in option pricing and insurance
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Ruin probabilities for competing claim processes
This page was built for publication: Risk processes perturbed by α-stable Lévy motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4235014)
