Abstract The Gerber-Shiu function provides a unified framework for the evaluation of a
variety of risk quantities. Ever since its establishment, it has attracted constantly increasing …

The aim of the paper is to outline the new trends in modern actuarial sciences in order to
help the researchers to find new domains of activity and university professors teaching future …

For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the
situation when the process is only observed at arrival epochs of an independent Poisson …

In this paper, we identify Laplace transforms of occupation times of intervals until first
passage times for spectrally negative Lévy processes. New analytical identities for scale …

We consider a similar variant of the event ruin for a Lévy insurance risk process as in Czarna
and Palmowski (J Appl Probab 48 (4): 984–1002, 2011) and Loeffen et al.(to appear, 2011) …

Inspired by the works of Landriault et al.(2011),(2014), we study the Gerber–Shiu distribution
at Parisian ruin with exponential implementation delays for a spectrally negative Lévy …

This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy
processes. First, we revisit some existing results on the magnitude of drawdowns for …

In this paper we solve the exit problems for (reflected) spectrally negative Lévy processes,
which are exponentially killed with a killing intensity dependent on the present state of the …

We consider the spectrally negative Lévy processes and determine the joint laws for the
quantities such as the first and last passage times over a fixed level, the overshoots and …

We consider exit problems for general Lévy processes, where the first passage over a
threshold is detected either immediately or at an epoch of an independent homogeneous …