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Results 1-10 of 11
Item hits:
Issue DateTitleAuthor(s)
1-Nov-2012On the drawdown of completely asymmetric Levy processesMijatovic, A; Pistorius, MR
1-Dec-2008EXIT PROBLEM OF A TWO-DIMENSIONAL RISK PROCESS FROM THE QUADRANT: EXACT AND ASYMPTOTIC RESULTSAvram, F; Palmowski, Z; Pistorius, MR
1-Jul-2008On perpetual American put valuation and first-passage in a regime-switching model with jumpsJiang, Z; Pistorius, MR
3-Jan-2017On future drawdowns of Levy processesBaurdoux, EJ; Palmowski, Z; Pistorius, MR
16-Aug-2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocationMadan, D; Pistorius, MR; Stadje, M
23-May-2016Joint asymptotic distribution of certain path functionals of the reflected processMijatovic, A; Pistorius, MR
26-Aug-2014On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processesAvram, F; Pistorius, MR
2-Aug-2016On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F; Badescu, AL; Pistorius, MR; Rabehasaina, L
25-Jun-2015American option valuation under continuous time Markov ChainsEriksson, B; Pistorius, MR; Asmussen, S
1-Oct-2015Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit riskDavis, MHA; Pistorius, MR

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