Archive

[AA10] Hansj¨org Albrecher and S¨oren Asmussen. Ruin probabilities, volume 14. World Scientiﬁc, 2010.

[ABPR16] F. Avram, A. Badescu, M. Pistorius, and L. Rabehasaina. On a class of dependent sparre andersen risk models and a bailout application. IME, (71):27–39, 2016.

[AI13] Hansj¨org Albrecher and Jevgenijs Ivanovs. A risk model with an observer in a markov environment. Risks, 1(3):148–161, 2013.

[AI14] Hansj¨org Albrecher and Jevgenijs Ivanovs. Power identities for l´evy risk models under taxation and capital injections. Stochastic Systems, 4(1):157–172, 2014.

[AI15] Hansjoerg Albrecher and Jevgenijs Ivanovs. Strikingly simple identities relating exit problems for l´evy processes under continuous and poisson observations. arXiv preprint arXiv:1507.03848, 2015.

[AIZ16] Hansjoerg Albrecher, Jevgenijs Ivanovs, and Xiaowen Zhou. Exit identities for l´evy processes observed at poisson arrival times. Bernoulli, 22(3):1364–1382, 2016.

[AKP04] Florin Avram, Andreas Kyprianou, and Martijn Pistorius. Exit problems for spectrally negative l´evy processes and applications to (canadized) russian options. The Annals of Applied Probability, 14(1):215–238, 2004.

[ALR09] Florin Avram, Nikolai Leonenko, and Landy Rabehasaina. Series expansions for the ﬁrst passage distribution of wong–pearson jump-diﬀusions. Stochastic Analysis and Applications, 27(4):770– 796, 2009.

[AM15] Florin Avram and Andreea Minca. Steps towards a management toolkit for central branch risk networks, using rational approximations and matrix scale functions. In A. B. Piunovskyi, editor, Modern trends in controlled stochastic processes: theory and applications, page 263:285, 2015.

[AM16] Florin Avram and Andreea Minca. On the management of central branch risk networks. Advances in Applied probability, in print, 2016.

[AMP16] Pablo Azcue, Nora Muler, and Zbigniew Palmowski. Optimal dividend payments for a twodimensional insurance risk process. arXiv preprint arXiv:1603.07019, 2016.12. O. Baranovskyi, M. Pratsiovytyi, G. Torbin, Ostrogradsky-Sierpinski-Pierce series and their applications, Naukova Dumka, Kyiv, 2013.

[APP07] Florin Avram, Zbigniew Palmowski, and Martijn R Pistorius. On the optimal dividend problem for a spectrally negative l´evy process. The Annals of Applied Probability, pages 156–180, 2007.

[APP08a] Florin Avram, Zbigniew Palmowski, and Martijn Pistorius. A two-dimensional ruin problem on the positive quadrant. Insurance: Mathematics and Economics, 42(1):227–234, 2008.

[APP08b] Florin Avram, Zbigniew Palmowski, and Martijn R Pistorius. Exit problem of a twodimensional risk process from the quadrant: exact and asymptotic results. The Annals of Applied Probability, 18(6):2421–2449, 2008.

[APP15] Florin Avram, Zbigniew Palmowski, and Martijn R Pistorius. On gerber–shiu functions and optimal dividend distribution for a l´evy risk process in the presence of a penalty function. The Annals of Applied Probability, 25(4):1868–1935, 2015. [APY16] Florin Avram, Jose-Luiz Perez, and Kazutoshi Yamazaki. Spectrally negative l´evy processes with parisian reﬂection below and classical reﬂection above. SPA, 2016.

[AzMul14] Pablo Azcue and Nora Muler. Stochastic Optimization in Insurance: A Dynamic Programming Approach. Springer, 2014.

[BB11] Nicole B¨auerle and Anja Blatter. Optimal control and dependence modeling of insurance portfolios with l´evy dynamics. Insurance: Mathematics and Economics, 48(3):398–405, 2011.

[Ber98] Jean Bertoin. L´evy processes, volume 121. Cambridge university press, 1998.

[Bog03] Elena Boguslavskaya. On optimization of dividend ﬂow for a company in a presence of liquidation value. Can be downloaded from http://www. boguslavsky. net/ﬁn/dividendﬂow. pdf, 2003.

[BPPR16] Erik Baurdoux, Juan Carlos Pardo, Jos´e Luis P´erez, and Jean-Francois Renaud. Gerber-shiu distribution at parisian ruin for l´evy insurance risk processes. Journal of Applied probability, 2016.

[BS12] Andrei N Borodin and Paavo Salminen. Handbook of Brownian motion-facts and formulae. Birkh¨auser, 2012.

[CP16] Michael Choi, and Pierre Patie. Skip-free Markov chains. Preprint, Research gate, 2016.

[DF57] Bruno De Finetti. Su un’impostazione alternativa della teoria collettiva del rischio. In Transactions of the XVth international congress of Actuaries, volume 2, pages 433–443, 1957.

[DW04] David Dickson and Howard R Waters. Some optimal dividends problems. Astin Bulletin, 34(01):49–74, 2004.

[GS98] Hans Gerber and Elias Shiu. On the time value of ruin. North American Actuarial Journal, 2, (1), 48–72, 1998.

[GLY06] Hans U Gerber, X Sheldon Lin, and Hailiang Yang. A note on the dividends-penalty identity and the optimal dividend barrier. Astin Bulletin, 36(02):489–503, 2006.

[IP12] Jevgenijs Ivanovs and Zbigniew Palmowski. Occupation densities in solving exit problems for markov additive processes and their reﬂections. Stochastic Processes and their Applications, 122(9):3342–3360, 2012.

[Iva11] Jevgenijs Ivanovs. PhD thesis: One-sided Markov additive processes and related exit problems. 2011.

[Iva13] Jevgenijs Ivanovs. Potential measures of one-sided markov additive processes with reﬂecting and terminating barriers. arXiv preprint arXiv:1309.4987, 2013.

[Iva13a] Jevgenijs Ivanovs. Spectrally-negative Markov additive processes, a Mathematica 8.0 package. https://sites.google.com/site/jevgenijsivanovs/ﬁles, 2013.

[Ken76] Douglas Kennedy. Some martingales related to cumulative sum tests and single-server queues. Stochastic processes and their applications, 4, 3, pages 261–269, 1976.

[KL10] Andreas Kyprianou and Ronnie Loeﬀen. Refracted l´evy processes. Ann. Inst. H. Poincar´e, 46(1):24–44, 2010.

[KP08] Andreas Kyprianou and Zbigniew Palmowski. Fluctuations of spectrally negative markov additive processes. In S´eminaire de probabilit´es XLI, pages 121–135. Springer, 2008.

[KPP14] Andreas Kyprianou, Juan Carlos Pardo, and Jos´e Luis P´erez. Occupation times of refracted l´evy processes. Journal of Theoretical Probability, 27(4):1292–1315, 2014.

[Kyp14] Andreas Kyprianou. Fluctuations of L´evy Processes with Applications: Introductory Lectures. Springer Science & Business Media, 2014.

[LRZ11] David Landriault, Jean-Francois Renaud, and Xiaowen Zhou. Occupation times of spectrally negative l´evy processes with applications. Stochastic processes and their applications, 121(11):2629– 2641, 2011.

[LRZ14] David Landriault, Jean-Francois Renaud, and Xiaowen Zhou. An insurance risk model with Parisian implementation delays. Methodology and Computing in Applied Probability, 16(3):583–607, 2014.

[LST14] Gunther Leobacher, Michaela Sz¨olgyenyi, and Stefan Thonhauser. Bayesian dividend optimization and ﬁnite time ruin probabilities. Stochastic Models, 30(2):216–249, 2014.

[LZ14] Yingqiu Li and Xiaowen Zhou. On pre-exit joint occupation times for spectrally negative l´evy processes. Statistics & Probability Letters, 94:48–55, 2014.

[LZZ15] Yingqiu Li, Xiaowen Zhou, and Na Zhu. Two-sided discounted potential measures for spectrally negative l´evy processes. Statistics & Probability Letters, 100:67–76, 2015.

[LR10] Ronnie Loeﬀen and Jean-Francois Renaud. De ﬁnetti’s optimal dividends problem with an aﬃne penalty function at ruin. Insurance: Mathematics and Economics, 46(1):98–108, 2010.

[Loi05] St´ephane Loisel. Diﬀerentiation of some functionals of risk processes, and optimal reserve allocation. Journal of applied probability, pages 379–392, 2005.

[LZ08] Arne Løkka and Mihail Zervos. Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance: Mathematics and Economics, 42(3):954–961, 2008.

[MM61] Merton H Miller and Franco Modigliani. Dividend policy, growth, and the valuation of shares. the Journal of Business, 34(4):411–433, 1961.

[NY05] Nguyen-Ngoc and Marc Yor. Some martingales associated to reﬂected L´evy processes. S´eminaire de probabilit´es XXXVIII, pages=42–69, 2005.

[PY15] Jos´e Luis P´erez and Kazutoshi Yamazaki. On the refracted-reﬂected spectrally negative l´evy processes. Preprint, 2015.

[Pic94] Philippe Picard. On some measures of the severity of ruin in the classical poisson model. Insurance: Mathematics and Economics, 14(2):107–115, 1994.

[Pis03] Martijn Pistorius. On doubly reﬂected completely asymmetric L´evy processes Stochastic Processes and their Applications, 107, pages 131–143, 2003.

[Pis05] Martijn Pistorius. A potential-theoretical review of some exit problems of spectrally negative l´evy processes. S´eminaire de Probabilit´es XXXVIII, pages 30–41, 2005.

[Pis07] Martijn Pistorius. An excursion-theoretical approach to some boundary crossing problems and the Skorokhod embedding for reﬂected L´evy processes. S´eminaire de Probabilit´es XL, pages 287–307, 2007.

[Ren14] Jean-Francois Renaud. On the time spent in the red by a refracted L´evy risk process. Journal of Applied Probability, 51, pages 1171–1188, 2014.

[RSST09] Tomasz Rolski, Hanspeter Schmidli, Volker Schmidt, and Jozef Teugels. Stochastic processes for insurance and ﬁnance, volume 505. John Wiley & Sons, 2009.

[Sat99] K.I. Sato. L´evy processes and inﬁnitely divisible distributions. Cambridge university press, 1999.

[Sch07] Hanspeter Schmidli. Stochastic control in insurance. Springer Science & Business Media, 2007.

[SLG84] Steven E Shreve, John P Lehoczky, and Donald P Gaver. Optimal consumption for general diffusions with absorbing and reﬂecting barriers. SIAM Journal on Control and Optimization, 22(1):55– 75, 1984.