Liquidation risk for exponential spectrally negative Lévy processes
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Publication:6188575
Authors: Li Xin, Jiang Feng 
Publication date: 7 February 2024
Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I5/732
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Pareto distributionliquidation probabilityexponential spectrally negative Lévy processthe Laplace transform of the liquidation time
Cites Work
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- Fluctuations of Lévy processes with applications. Introductory lectures
- Optimal investment for insurers when the stock price follows an exponential Lévy process
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- Parisian ruin probability with a lower ultimate bankrupt barrier
- On the Laplace transform of the Pareto distribution
- The theory of scale functions for spectrally negative Lévy processes
- Old and new examples of scale functions for spectrally negative Lévy processes
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
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- A solution to the ruin problem for Pareto distributions.
- The distribution of compound sums of Pareto distributed losses
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
- Liquidation risk in insurance under contemporary regulatory frameworks
- Ruin probabilities of Markov-modulated jump-diffusion risk model
- Modeling severity and measuring tail risk of Norwegian fire claims
- Odd Pareto families of distributions for modeling loss payment data
- 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
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