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  • Search: subject:"Spectrally negative Lévy process"
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Year of publication
Subject
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Spectrally negative Lévy process 13 Stochastic process 12 Stochastischer Prozess 12 Option pricing theory 8 Optionspreistheorie 8 spectrally negative Lévy process 8 Risiko 7 Risk 7 Risikomodell 6 Risk model 6 Theorie 6 Theory 6 Scale function 5 Dividend 4 Dividende 4 Laplace transform 3 potential measure 3 ruin probability 3 Excursion theory 2 Finanzmathematik 2 Joint occupation time 2 Laguerre polynomial 2 Mathematical finance 2 Parisian ruin 2 Probability theory 2 Risk process 2 Statistical distribution 2 Statistische Verteilung 2 Wahrscheinlichkeitsrechnung 2 asymptotic normality 2 discrete observations 2 first crossing time 2 general tax structure 2 joint Laplace transform 2 occupation time 2 scale function 2 (perturbed) compound Poisson risk process 1 60J35 1 Actuarial mathematics 1 Capital injections 1
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Undetermined 11 Free 10
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Article 21
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Article 3
Language
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English 18 Undetermined 3
Author
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Zhou, Xiaowen 8 Wang, Wenyuan 5 Landriault, David 3 Kuang, Xuebing 2 Li, Shuanming 2 Li, Yingqiu 2 Shimizu, Yasutaka 2 Zhang, Zhimin 2 Al Ghanim, Dalal 1 Albrecher, Hansjörg 1 Ben Salah, Zied 1 Bladt, Martin 1 Budhi Arta Surya 1 Bäuerle, Nicole 1 Cao, Jingyi 1 Chen, Ping 1 Gajek, Lewław 1 Garrido, José 1 Hu, Yijun 1 Jin, Can 1 Kuciński, Łukasz 1 Li, Bin 1 Li, Bo 1 Lkabous, Mohamed Amine 1 Loeffen, Ronnie 1 Wang, Zijia 1 Watson, Alexander R. 1 Willmot, Gordon E. 1 Wong, Jeff T. Y. 1 Wu, Xueyuan 1 Xu, Di 1 Young, Virginia R. 1 Zhao, Xianghua 1 Zhu, Na 1
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Published in...
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Insurance / Mathematics & economics 7 Scandinavian actuarial journal 4 Risks 3 Risks : open access journal 3 Statistics & Probability Letters 2 Insurance : mathematics and economics 1 Insurance: Mathematics and Economics 1
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Source
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ECONIS (ZBW) 15 EconStor 3 RePEc 3
Showing 11 - 20 of 21
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Generalized expected discounted penalty function at general drawdown for Lévy risk processes
Wang, Wenyuan; Chen, Ping; Li, Shuanming - In: Insurance / Mathematics & economics 91 (2020), pp. 12-25
Persistent link: https://www.econbiz.de/10012241972
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On series expansions for scale functions and other ruin-related quantities
Landriault, David; Willmot, Gordon E. - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 292-306
Persistent link: https://www.econbiz.de/10012262737
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The equivalence of two tax processes
Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012169491
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On fair reinsurance premiums : capital injections in a perturbed risk model
Ben Salah, Zied; Garrido, José - In: Insurance / Mathematics & economics 82 (2018), pp. 11-20
Persistent link: https://www.econbiz.de/10011929775
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Poissonian potential measures for Lévy risk models
Landriault, David; Li, Bin; Wong, Jeff T. Y.; Xu, Di - In: Insurance / Mathematics & economics 82 (2018), pp. 152-166
Persistent link: https://www.econbiz.de/10011929861
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Dividends : from refracting to ratcheting
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin - In: Insurance / Mathematics & economics 83 (2018), pp. 47-58
Persistent link: https://www.econbiz.de/10011944095
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Complete discounted cash flow valuation
Gajek, Lewław; Kuciński, Łukasz - In: Insurance / Mathematics & economics 73 (2017), pp. 1-19
Persistent link: https://www.econbiz.de/10011702033
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On the occupation times in a delayed Sparre Andersen risk model with exponential claims
Jin, Can; Li, Shuanming; Wu, Xueyuan - In: Insurance / Mathematics & economics 71 (2016), pp. 304-316
Persistent link: https://www.econbiz.de/10011630855
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Two-sided discounted potential measures for spectrally negative Lévy processes
Li, Yingqiu; Zhou, Xiaowen; Zhu, Na - In: Statistics & Probability Letters 100 (2015) C, pp. 67-76
For spectrally negative Lévy processes, we find expressions of potential measures that are discounted by their joint occupation times over semi-infinite intervals (−∞,0) and (0,∞). These expressions are in terms of the associated scale functions and the inverse functions of Laplace exponents.
Persistent link: https://www.econbiz.de/10011263151
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On pre-exit joint occupation times for spectrally negative Lévy processes
Li, Yingqiu; Zhou, Xiaowen - In: Statistics & Probability Letters 94 (2014) C, pp. 48-55
We adopt a new approach to find Laplace transforms of joint occupation times over disjoint intervals for spectrally negative Lévy processes. The Laplace transforms are expressed in terms of scale functions.
Persistent link: https://www.econbiz.de/10010930578
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