| Publication | Date of Publication | Type |
|---|
Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
Stochastic Processes and their Applications | 2024-10-08 | Paper |
Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
Bernoulli | 2024-08-20 | Paper |
Exit times for a discrete Markov additive process
Journal of Theoretical Probability | 2024-06-17 | Paper |
Gerber-Shiu theory for discrete risk processes in a regime switching environment
Applied Mathematics and Computation | 2024-04-18 | Paper |
Perpetual American options with asset-dependent discounting
Applied Mathematics and Optimization | 2024-01-19 | Paper |
Double continuation regions for American options under Poisson exercise opportunities
Mathematical Finance | 2023-09-28 | Paper |
| Time-dependent probability density function for partial resetting dynamics | 2023-05-23 | Paper |
A dual risk model with additive and proportional gains: ruin probability and dividends
Advances in Applied Probability | 2023-05-05 | Paper |
| Exact asymptotics of ruin probabilities with linear Hawkes arrivals | 2023-04-06 | Paper |
| Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process | 2023-03-21 | Paper |
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
Journal of Applied Probability | 2023-03-09 | Paper |
| Moments of exponential functionals of L\'{e}vy processes on a deterministic horizon -- identities and explicit expressions | 2023-03-06 | Paper |
| Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (LD-QBD) | 2023-02-04 | Paper |
| Sensitivity analysis of Quasi-Birth-and-Death processes | 2023-02-04 | Paper |
Subexponential potential asymptotics with applications
Advances in Applied Probability | 2022-12-13 | Paper |
| Last passage American cancellable option in L\'evy models | 2022-12-02 | Paper |
On busy periods of the critical GI/G/1 queue and BRAVO
Queueing Systems | 2022-11-09 | Paper |
Ruin probabilities for risk process in a regime-switching environment
Scandinavian Actuarial Journal | 2022-10-26 | Paper |
Matrix-analytic methods for the analysis of stochastic fluid-fluid models
Stochastic Models | 2022-07-18 | Paper |
First exit time for a discrete-time parallel queue
Queueing Systems | 2022-06-16 | Paper |
Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
Electronic Journal of Probability | 2022-05-10 | Paper |
Importance sampling for maxima on trees
Stochastic Processes and their Applications | 2022-04-28 | Paper |
Branching processes with immigration in atypical random environment
Extremes | 2022-04-04 | Paper |
Modelling social media contagion using Hawkes processes
Mathematica Applicanda | 2022-03-16 | Paper |
Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
North American Actuarial Journal | 2021-12-18 | Paper |
A multiplicative version of the Lindley recursion
Queueing Systems | 2021-11-29 | Paper |
On the exact asymptotics of exit time from a cone of an isotropic \(\alpha\)-self-similar Markov process with a skew-product structure
Probability and Mathematical Statistics | 2021-11-29 | Paper |
Yaglom limit for stochastic fluid models
Advances in Applied Probability | 2021-10-12 | Paper |
Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
Advances in Applied Probability | 2021-08-04 | Paper |
Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
Queueing Systems | 2021-01-22 | Paper |
| Extreme positions of regularly varying branching random walk in random and time-inhomogeneous environment | 2021-01-13 | Paper |
| How much we gain by surplus-dependent premiums -- asymptotic analysis of ruin probability | 2021-01-09 | Paper |
The Leland-Toft optimal capital structure model under Poisson observations
Finance and Stochastics | 2020-11-11 | Paper |
| Distributional properties of fluid queues busy period and first passage times | 2020-11-08 | Paper |
Modeling social media contagion using Hawkes processes
(available as arXiv preprint) | 2020-10-24 | Paper |
Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
Probability and Mathematical Statistics | 2020-09-24 | Paper |
| Exit Times for a Discrete Markov Additive Process | 2020-08-15 | Paper |
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Insurance Mathematics & Economics | 2020-08-03 | Paper |
| Multivariate L\'evy-type drift change detection and mortality modeling | 2020-07-23 | Paper |
Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
Stochastic Models | 2020-07-03 | Paper |
An application of dynamic programming to assign pressing tanks at wineries
European Journal of Operational Research | 2020-06-17 | Paper |
Double continuation regions for American and Swing options with negative discount rate in Lévy models
Mathematical Finance | 2020-05-14 | Paper |
Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
Applied Mathematics and Optimization | 2020-04-14 | Paper |
Extremes of multitype branching random walks: heaviest tail wins
Advances in Applied Probability | 2019-12-09 | Paper |
Quickest drift change detection in Lévy-type force of mortality model
Applied Mathematics and Computation | 2019-11-15 | Paper |
Slower variation of the generation sizes induced by heavy-tailed environment for geometric branching
Statistics & Probability Letters | 2019-09-25 | Paper |
Slower variation of the generation sizes induced by heavy-tailed environment for geometric branching
Statistics & Probability Letters | 2019-09-25 | Paper |
Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Optimal dividend payments for a two-dimensional insurance risk process
European Actuarial Journal | 2019-09-03 | Paper |
Yaglom limit for Stochastic Fluid Models
(available as arXiv preprint) | 2019-08-28 | Paper |
The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
(available as arXiv preprint) | 2019-07-02 | Paper |
Number of claims and ruin time for a refracted risk process
(available as arXiv preprint) | 2019-07-02 | Paper |
On the optimal dividend problem in the dual model with surplus-dependent premiums
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Fluctuations of Omega-killed spectrally negative Lévy processes
Stochastic Processes and their Applications | 2018-10-31 | Paper |
Parisian ruin for the dual risk process in discrete-time
European Actuarial Journal | 2018-10-31 | Paper |
A note on chaotic and predictable representations for Itô-Markov additive processes
Stochastic Analysis and Applications | 2018-10-09 | Paper |
A note on optimal expected utility of dividend payments with proportional reinsurance
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
| A note on first passage probabilities of a Lévy process reflected at a general barrier | 2018-08-08 | Paper |
A note on first passage probabilities of a Lévy process reflected at a general barrier
(available as arXiv preprint) | 2018-08-08 | Paper |
| Two-dimensional ruin probability for subexponential claim size | 2018-08-08 | Paper |
Two-dimensional ruin probability for subexponential claim size
(available as arXiv preprint) | 2018-08-08 | Paper |
Discrete time ruin probability with Parisian delay
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Yaglom limit for stable processes in cones
Electronic Journal of Probability | 2018-05-15 | Paper |
Yaglom limit for stable processes in cones
Electronic Journal of Probability | 2018-05-15 | Paper |
Pricing insurance drawdown-type contracts with underlying Lévy assets
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Matrix geometric approach for random walks: stability condition and equilibrium distribution
Stochastic Models | 2018-02-19 | Paper |
Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
Applicationes Mathematicae | 2017-11-30 | Paper |
Parisian quasi-stationary distributions for asymmetric Lévy processes
Statistics & Probability Letters | 2017-10-06 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
| scientific article; zbMATH DE number 6705403 (Why is no real title available?) | 2017-04-12 | Paper |
The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
Journal of Computational and Applied Mathematics | 2016-11-22 | Paper |
On the optimal dividend problem for insurance risk models with surplus-dependent premiums
Journal of Optimization Theory and Applications | 2016-04-22 | Paper |
| Ruin probabilities with dependence on the number of claims within a fixed time window | 2016-04-21 | Paper |
| Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process | 2016-03-22 | Paper |
| Problem optymalizacyjny de Finettiego dla proces\'ow L\'evy'ego | 2016-03-18 | Paper |
The distribution of the supremum for spectrally asymmetric Lévy processes
Electronic Communications in Probability | 2015-08-17 | Paper |
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
The Annals of Applied Probability | 2015-07-27 | Paper |
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
The Annals of Applied Probability | 2015-07-27 | Paper |
A Lévy input fluid queue with input and workload regulation
Queueing Systems | 2014-11-25 | Paper |
A note on Wiener-Hopf factorization for Markov additive processes
Journal of Theoretical Probability | 2014-09-26 | Paper |
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
Heavy-tailed branching process with immigration
Stochastic Models | 2014-01-30 | Paper |
On time reversal of piecewise deterministic Markov processes
Electronic Journal of Probability | 2014-01-17 | Paper |
Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations
Queueing Systems | 2013-11-25 | Paper |
Two-Dimensional Fluid Queues with Temporary Assistance
Matrix-Analytic Methods in Stochastic Models | 2013-07-29 | Paper |
Exact and asymptotic results for insurance risk models with surplus-dependent premiums
SIAM Journal on Applied Mathematics | 2013-06-06 | Paper |
Parisian ruin probability for spectrally negative Lévy processes
Bernoulli | 2013-05-30 | Paper |
Parisian ruin probability for spectrally negative Lévy processes
Bernoulli | 2013-05-30 | Paper |
Quasi-stationary workload in a Lévy-driven storage system
Stochastic Models | 2012-10-29 | Paper |
Occupation densities in solving exit problems for Markov additive processes and their reflections
Stochastic Processes and their Applications | 2012-08-14 | Paper |
| scientific article; zbMATH DE number 5994711 (Why is no real title available?) | 2012-01-05 | Paper |
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Journal of Applied Probability | 2012-01-04 | Paper |
Loss rate for a general Lévy process with downward periodic barrier
Journal of Applied Probability | 2011-10-25 | Paper |
Quantile hedging for equity-linked contracts
Insurance Mathematics & Economics | 2011-08-01 | Paper |
A Lévy input model with additional state-dependent services
Stochastic Processes and their Applications | 2011-07-08 | Paper |
De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
Stochastic Models | 2011-06-20 | Paper |
| Quantile hedging for an insider | 2011-05-30 | Paper |
Quantile hedging for an insider
(available as arXiv preprint) | 2011-05-30 | Paper |
On perturbed random walks
Journal of Applied Probability | 2011-01-13 | Paper |
Tail asymptotics for a random sign Lindley recursion
Journal of Applied Probability | 2010-04-08 | Paper |
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Statistics & Probability Letters | 2009-09-14 | Paper |
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
The Annals of Applied Probability | 2009-01-13 | Paper |
| Fluctuations of spectrally negative Markov additive processes | 2008-09-25 | Paper |
A two-dimensional ruin problem on the positive quadrant
Insurance Mathematics & Economics | 2008-08-22 | Paper |
| The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process | 2008-05-12 | Paper |
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
Journal of Applied Probability | 2008-02-22 | Paper |
Tail Asymptotics of the Supremum of a Regenerative Process
Journal of Applied Probability | 2008-02-22 | Paper |
On the optimal dividend problem for a spectrally negative Lévy process
The Annals of Applied Probability | 2008-01-18 | Paper |
| A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman-Kac formula, Laplace transform and its inversion | 2007-06-08 | Paper |
Quasi-stationary distributions for Lévy processes
Bernoulli | 2006-11-06 | Paper |
On the exact asymptotics of the busy period in GI/G/1 queues
Advances in Applied Probability | 2006-11-02 | Paper |
The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
The Annals of Applied Probability | 2005-11-08 | Paper |
Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
Queueing Systems | 2005-11-07 | Paper |
| scientific article; zbMATH DE number 2188832 (Why is no real title available?) | 2005-07-27 | Paper |
Cyclic queueing networks with subexponential service times
Journal of Applied Probability | 2005-04-18 | Paper |
| scientific article; zbMATH DE number 2149873 (Why is no real title available?) | 2005-03-30 | Paper |
| scientific article; zbMATH DE number 2104318 (Why is no real title available?) | 2004-09-29 | Paper |
On the integral of the workload process of the single server queue
Journal of Applied Probability | 2004-02-08 | Paper |
Lundberg inequalities in a diffusion environment
Insurance Mathematics & Economics | 2003-11-16 | Paper |
| scientific article; zbMATH DE number 1995554 (Why is no real title available?) | 2003-10-22 | Paper |
A tandem queue with a gate mechanism
Queueing Systems | 2003-06-09 | Paper |
A technique for exponential change of measure for Markov processes
Bernoulli | 2003-05-25 | Paper |
A note on bounds in the SMP fluid models
Queueing Systems | 2001-07-19 | Paper |
On-off fluid models in heavy traffic environment
Queueing Systems | 2000-03-30 | Paper |
The superposition of alternating on-off flows and a fluid model
The Annals of Applied Probability | 1999-11-23 | Paper |
A note on martingale inequalities for fluid models
Statistics & Probability Letters | 1998-01-22 | Paper |
Maxima over random time intervals for heavy-tailed compound renewal and L\'evy processes
(available as arXiv preprint) | N/A | Paper |
Fluctuations of Omega-killed level-dependent spectrally negative L\'evy processes
(available as arXiv preprint) | N/A | Paper |
Branching random walk and log-slowly varying tails
(available as arXiv preprint) | N/A | Paper |
