6 citations · 6 across the 2 of their papers we have counts for
3 papers
math.OC2022
De Finetti's control problem with a concave bound on the control rate
Félix Locas, Jean-François Renaud
We consider De Finetti's control problem for absolutely continuous strategies with control rates bounded by a concave function and prove that a generalized mean-reverting strategy…
math.PR2018
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
Mohamed Amine Lkabous, Jean-François Renaud
In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes bot…
math.PR2014★ 6 cited
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Hélène Guérin, Jean-François Renaud
For a spectrally negative Lévy process , we study the following distribution: $$ \mathbb{E}_x \left[ \mathrm{e}^{- q \int_0^t \mathbf{1}_{(a,b)} (X_s) \mathrm{d}s } ; X_t \in \m…