Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory

Occupation times of spectrally negative Lévy processes with applications

(2011) David Landriault et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Exact and asymptotic n -tuple laws at first and last passage

(2010) A. E. Kyprianou et al.   ANNALS OF APPLIED PROBABILITY

The first passage event for sums of dependent Lévy processes with applications to insurance risk

(2009) Irmingard Eder et al.   ANNALS OF APPLIED PROBABILITY

On a generalization of the Gerber–Shiu function to path-dependent penalties

(2009) Enrico Biffis et al.   INSURANCE MATHEMATICS & ECONOMICS

A note on scale functions and the time value of ruin for Lévy insurance risk processes

(2009) Enrico Biffis et al.   INSURANCE MATHEMATICS & ECONOMICS

Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem

(2009) Andreas E. Kyprianou et al.   JOURNAL OF THEORETICAL PROBABILITY

On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

(2008) R. L. Loeffen   ANNALS OF APPLIED PROBABILITY

Some explicit identities associated with positive self-similar Markov processes

(2008) L. Chaumont et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS