7 papers
Poissonian potential measures for refracted-reflected Lévy processes
Noah Beelders, Lewis Ramsden, Apostolos D. Papaioannou
In this paper we study the potential measures and the Laplace transforms of the occupation times of a refracted-reflected spectrally negative Lévy process when the process is obser…
Lévy processes with partially stochastic resetting
Zbigniew Palmowski, Noah Beelders, Lewis Ramsden +1
In this paper, we solve exit problems for a Lévy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional…
Finite-Time Ruin for the Compound Markov Binomial Risk Model
Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic…
Lévy processes under level-dependent Poissonian switching
Noah Beelders, Lewis Ramsden, Apostolos D. Papaioannou
In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two Lévy processes if it is above (or below)…
Gerber-Shiu Theory for Discrete Risk Processes in a Regime Switching Environment
Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Ger…
Exit Times for a Discrete Markov Additive Process
Zbigniew Palmowski, Lewis Ramsden, Apostolos Papaioannou
In this paper we consider (upward skip-free) discrete-time and discrete-space Markov additive chains (MACs) and develop the theory for the so-called and sca…
Parisian ruin for the dual risk process in discrete-time
Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive…