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Discounted penalty function at Parisian ruin for Lévy insurance risk process

Insurance, mathematics & economics, 2018-11, Vol.83, p.190-197

2018

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ON GERBER–SHIU FUNCTIONS AND OPTIMAL DIVIDEND DISTRIBUTION FOR A LÉVY RISK PROCESS IN THE PRESENCE OF A PENALTY FUNCTION

The Annals of applied probability, 2015-08, Vol.25 (4), p.1868-1935

2015

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Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

Insurance, mathematics & economics, 2020-07, Vol.93, p.168-177

2020

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Journal of applied probability, 2007-06, Vol.44 (2), p.428-443

2007

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Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process

Journal of applied probability, 2011-12, Vol.48 (4), p.984-1002

2011

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On future drawdowns of Lévy processes

Stochastic processes and their applications, 2017-08, Vol.127 (8), p.2679-2698

2017

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Journal of applied probability, 2007-06, Vol.44 (2), p.428-443

2007

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Cyclic queueing networks with subexponential service times

Journal of applied probability, 2004-09, Vol.41 (3), p.791-801

2004

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A two-dimensional ruin problem on the positive quadrant

Insurance, mathematics & economics, 2008-02, Vol.42 (1), p.227-234

2008

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On the integral of the workload process of the single server queue

Journal of applied probability, 2003-03, Vol.40 (1), p.200-225

2003

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On the integral of the workload process of the single server queue

Journal of applied probability, 2003-03, Vol.40 (1), p.200-225

2003

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A Technique for Exponential Change of Measure for Markov Processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2002-12, Vol.8 (6), p.767-785

2002

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Introduction to special issue on open problems

Queueing systems, 2011-08, Vol.68 (3-4), p.217-220

2011

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Quantile hedging for equity-linked contracts

Insurance, mathematics & economics, 2011-03, Vol.48 (2), p.280-286

2011

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On th exact asymptotics of exit time from a cone of an isotropic alpha-self-similar Markov process with a skew-product structure

Probability and Mathematical Statistics, 2020, Vol.41 (1)

2020

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The Probability of Exceeding a High Boundary on a Random Time Interval for a Heavy-Tailed Random Walk

The Annals of applied probability, 2005-08, Vol.15 (3), p.1936-1957

2005

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BOUNDS FOR FLUID MODELS DRIVEN BY SEMI-MARKOV INPUTS

Probability in the engineering and informational sciences, 1999-10, Vol.13 (4), p.429-475

1999

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Journal of applied probability, 2007-06, Vol.44 (2), p.428-443

2007

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Lundberg inequalities in a diffusion environment

Insurance, mathematics & economics, 2002-10, Vol.31 (2), p.303-313

Palmowski, Zbigniew

2002

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Quasi-Stationary Distributions for Lévy Processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2006-08, Vol.12 (4), p.571-581

2006

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A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

Séminaire de Probabilités XXXVIII, 2005-11, p.16-29

2005

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A note on bounds in the SMP fluid models

Queueing systems, 2001-01, Vol.38 (1), p.77-89

PALMOWSKI, Zbigniew

2001

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Tail Behaviour of the Area Under the Queue Length Process of the Single Server Queue with Regularly Varying Service Times

Queueing systems, 2005-07, Vol.50 (2-3), p.299-323

2005

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Cyclic queueing networks with subexponential service times

Journal of applied probability, 2004-09, Vol.41 (3), p.791-801

2004

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On-off fluid models in heavy traffic environment

Queueing systems, 1999-01, Vol.33 (4), p.327-338

1999

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Discounted penalty function at Parisian ruin for Lévy insurance risk process

ON GERBER–SHIU FUNCTIONS AND OPTIMAL DIVIDEND DISTRIBUTION FOR A LÉVY RISK PROCESS IN THE PRESENCE OF A PENALTY FUNCTION

Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process

On future drawdowns of Lévy processes

Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Cyclic queueing networks with subexponential service times

A two-dimensional ruin problem on the positive quadrant

On the integral of the workload process of the single server queue

On the integral of the workload process of the single server queue

A Technique for Exponential Change of Measure for Markov Processes

Introduction to special issue on open problems

Quantile hedging for equity-linked contracts

On th exact asymptotics of exit time from a cone of an isotropic alpha-self-similar Markov process with a skew-product structure

The Probability of Exceeding a High Boundary on a Random Time Interval for a Heavy-Tailed Random Walk

BOUNDS FOR FLUID MODELS DRIVEN BY SEMI-MARKOV INPUTS

Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

Lundberg inequalities in a diffusion environment

Quasi-Stationary Distributions for Lévy Processes

A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

A note on bounds in the SMP fluid models

Tail Behaviour of the Area Under the Queue Length Process of the Single Server Queue with Regularly Varying Service Times

Cyclic queueing networks with subexponential service times

On-off fluid models in heavy traffic environment

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