319 citations · 390 across the 4 of their papers we have counts for
4 papers · 1 filter
Quantile hedging for an insider
Przemyslaw Klusik, Zbigniew Palmowski, Jakub Zwierz
In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is model…
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Zbigniew Palmowski, Martijn Pistorius
We derive the exact asymptotics of if and tend to infinity with constant, for a Lévy process that admits exponential moments. The proo…
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of cla…
On the optimal dividend problem for a spectrally negative Lévy process
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments…