Spectrally negative Lévy processes with applications in risk theory

By Hailiang Yang, Lianzeng Zhang. Advances in Applied Probability, 2001

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/da90f4f3ac2d03b2cdecc8b8f255468af4b4efee

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Citations in the corpus

On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004, background): “For example, the ruin probabilities in the perturbed risk processes can often be deduced from the tail of R(x); see Dufresne and Gerber (1991), Furrer (1998), Schmidli (2001), Yang and Zhang (2001), among others.”
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2011, background): “In the theory of actuarial mathematics, the first passage problem is very important to the ruin problems; see, for example, among others, Yang and Zhang (2001), Klüppelberg et al. (2004), Huzak et al. (2004a, 2004b), Zhou (2005), Garrido and Morales (2006), Biffis and Kyprianou (2010) and Billis…”
Ruin probabilities and decompositions for general perturbed risk processes (2004, methodology): “the results obtained in [Fur], [ YZ ] and [Sch] (in L´evy case).”
Evaluating Scale Functions of Spectrally Negative Lévy Processes (2008, background): “For related references, see, for instance, [11]–[13], [23], and the literature therein for details.”
A Lévy Insurance Risk Process with Tax (2008, background): “This model has recently attracted a lot of research interest; see, e.g. [6], [8], [9], [11], [13], and [ 18 ].”
On The Expected Discounted Penalty function for Lévy Risk Processes (2006, methodology): “Ruin probabilities in this model have been discussed in Bertoin and Doney (1994), Yang and Zhang (2001), Morales and Schoutens (2003), Huzak et al. (2004), Klüppelberg et al. (2004) and in Doney and Kyprianou (2005).”
Passage times for a spectrally negative Lévy process with applications to risk theory (2005, background): “These random variables include the time when the surplus reaches some level for the first time (Gerber 1990; Picard and Lefèvre 1994; Zhang and Wu 2002), the time when the surplus crosses some level for the last time (Gerber 1990), the duration of negative surplus (Egı́dio dos Reis 1993; Zhang and ”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “…Cramér-Lundberg process includes for example Dickson (1992, 1993); Gerber and Shiu (1997, 1998); Gerber and Landry (1998); Lin and Willmot (1999); Yang and Zhang (2001); Cai and Dickson (2002); Tsai and Willmot (2002); Cai (2004); Garrido and Morales (2006); Morales (2007); Morales and Olivares…”
Distribution of the Present Value of Dividend Payments in a Lévy Risk Model (2007, background): “[14] Yang, H. and Zhang, L. (2001).”