In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that...

Consider the American put and Russian option (Ann. Appl. Probab. 3 (1993) 603; Theory Probab. Appl. 39 (1994) 103; Ann. Appl. Probab. 3 (1993) 641) with the stock price modeled as an exponential Lévy process. We find an explicit expression for the price in the dense class of Lévy processes with...

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance...

The {\em drawdown} process $Y$ of a completely asymmetric L\'{e}vy process $X$ is equal to $X$ reflected at its running supremum $\bar{X}$: $Y = \bar{X} - X$. In this paper we explicitly express in terms of the scale function and the L\'{e}vy measure of $X$ the law of the sextuple of the...

In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is modelled by a filtration initially enlarged by some random variable. By using equivalent martingale measures introduced...

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance portfolio. The analysis is based on boundary problems...

We consider the problem of maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a Cram\'er risk process with Erlang claims. We focus on the exponential claims and power and logarithmic utility functions. Finally we also analyze...

In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the cumulative discounted dividends received until the moment...

In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta0$. We focus on general spectrally negative L\'{e}vy insurance risk process. For this class of processes we identify expression for ruin...

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale...