Liquidation risk for exponential spectrally negative Lévy processes
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Publication:6188575
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Cites work
- A solution to the ruin problem for Pareto distributions.
- Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Fluctuations of Lévy processes with applications. Introductory lectures
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- Liquidation risk in insurance under contemporary regulatory frameworks
- Loss models. From data to decisions
- Modeling severity and measuring tail risk of Norwegian fire claims
- Odd Pareto families of distributions for modeling loss payment data
- Old and new examples of scale functions for spectrally negative Lévy processes
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- On the Laplace transform of the Pareto distribution
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Parisian ruin probability with a lower ultimate bankrupt barrier
- Ruin probabilities of Markov-modulated jump-diffusion risk model
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- The distribution of compound sums of Pareto distributed losses
- The theory of scale functions for spectrally negative Lévy processes
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