New research directions in modern actuarial sciences
E Bulinskaya - Modern Problems of Stochastic Analysis and Statistics …, 2017 - Springer
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 …
help the researchers to find new domains of activity and university professors teaching future …
[HTML][HTML] Occupation times of spectrally negative Lévy processes with applications
D Landriault, JF Renaud, X Zhou - Stochastic processes and their …, 2011 - Elsevier
In this paper, we compute the Laplace transform of occupation times (of the negative half-
line) of spectrally negative Lévy processes. Our results are extensions of known results for …
line) of spectrally negative Lévy processes. Our results are extensions of known results for …
On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
We consider the dual model, which is appropriate for modeling the surplus of companies
with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or …
with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or …
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
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 …
at Parisian ruin with exponential implementation delays for a spectrally negative Lévy …
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
H Albrecher, J Ivanovs - Stochastic Processes and their Applications, 2017 - Elsevier
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 …
threshold is detected either immediately or at an epoch of an independent homogeneous …
Discounted penalty function at Parisian ruin for Lévy insurance risk process
In the setting of a Lévy insurance risk process, we present some results regarding the
Parisian ruin problem which concerns the occurrence of an excursion below zero of duration …
Parisian ruin problem which concerns the occurrence of an excursion below zero of duration …
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
I Czarna, Z Palmowski - Journal of Optimization Theory and Applications, 2014 - Springer
In this paper, we consider dividend problem for an insurance company whose risk evolves
as a spectrally negative Lévy process (in the absence of dividend payments) when a …
as a spectrally negative Lévy process (in the absence of dividend payments) when a …
On the time spent in the red by a refracted Lévy risk process
JF Renaud - Journal of Applied Probability, 2014 - cambridge.org
In this paper we introduce an insurance ruin model with an adaptive premium rate,
henceforth referred to as restructuring/refraction, in which classical ruin and bankruptcy are …
henceforth referred to as restructuring/refraction, in which classical ruin and bankruptcy are …
Finite-time ruin probabilities using bivariate Laguerre series
ECK Cheung, H Lau, GE Willmot… - Scandinavian Actuarial …, 2023 - Taylor & Francis
In this paper, we revisit the finite-time ruin probability in the classical compound Poisson risk
model. Traditional general solutions to finite-time ruin problems are usually expressed in …
model. Traditional general solutions to finite-time ruin problems are usually expressed in …
Parisian ruin of self-similar Gaussian risk processes
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar
Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian …
Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian …