6 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 obse…
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 additiona…
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…
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…
Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes
Zbigniew Palmowski, Meral ÅimÅek, Apostolos D. Papaioannou
In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. M…
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…