A Lévy insurance risk process with tax

It is well-know that, when the initial value goes to infinity, the result of Cram´er holds for more general (light-tailed) L´evy processes where the rate is given by the root of

In the limited examples and experiments considered, we have established that PLAD and PLS estimate different features, but PLS is superior to PLAD in the sense that the

We propose that in the course of evolution these unicellular photoreceptors has duplicated and differ- entiated into at least two different cell types, photoreceptor cells and

An interesting consequence of the fact that mutual arrangements under cooperation replicate the first-best allocation when pool size is infinite is that, if the number of

Given a general critical or sub-critical branching mechanism and its associated L´evy continuum random tree, we consider a pruning procedure on this tree using a Poisson snake..

A result on power moments of Lévy-type perpetuities and its application to the L p-convergence of Biggins’ martingales in branching Lévy processes.. ALEA : Latin American Journal

Keywords Ruin probabilities · Dual models · Price process · Renewal theory · Distribu- tional equation · Autoregression with random coefficients · L´evy process.. Mathematics

Together with known results from the fluctuation theory of spectrally negative L´ evy processes and control theory we apply these results in Section 5 to investigate the optimality