227 citations · 354 across the 14 of their papers we have counts for
15 papers
Stochastic optimal control of Lévy tax processes with bailouts
Dalal Al Ghanim, Ronnie Loeffen, Alexander R. Watson
We consider controlling the paths of a spectrally negative Lévy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `ba…
Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration
R. Loeffen, P. Patie, J. Wang
We develop a new methodology for the fluctuation theory of continuous-time skip-free Markov chains, extending the recent work of Choi and Patie [5] for discrete-time skip-free Mark…
First passage times over stochastic boundaries for subdiffusive processes
C. Constantinescu, R. Loeffen, P. Patie
Let be the subdiffusive process defined, for any , by where is a Lévy process and $\…
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
Ronnie Loeffen, Pierre Patie, Mladen Savov
We start by providing an explicit characterization and analytical properties, including the persistence phenomena, of the distribution of the extinction time of a clas…
The equivalence of two tax processes
Dalal Al Ghanim, Ronnie Loeffen, Alex Watson
We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company…
Smoothness of continuous state branching with immigration semigroups
Marie Chazal, Ronnie L. Loeffen, Pierre Patie
In this work we develop an original and thorough analysis of the (non)-smoothness properties of the semigroups, and their heat kernels, associated to a large class of continuous st…
Discounted Penalty Function at Parisian Ruin for Lévy Insurance Risk Process
Ronne Loeffen, Zbigniew Palmowski, Budhi Surya
In the setting of a Lévy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bi…
On obtaining simple identities for overshoots of spectrally negative Lévy processes
Ronnie Loeffen
For a (killed) spectrally negative Lévy process we provide an analytic expression for the distribution of its overshoot over a fixed level in terms of the infinitesimal generator a…
Occupation times of intervals until first passage times for spectrally negative Lévy processes
Ronnie L. Loeffen, Jean-François Renaud, Xiaowen Zhou
In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale…
Parisian ruin probability for spectrally negative Lévy processes
Ronnie Loeffen, Irmina Czarna, Zbigniew Palmowski
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an…
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Christian Bayer, Peter Friz, Ronnie Loeffen
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], invo…
Optimal control with absolutely continuous strategies for spectrally negative Levy processes
Andreas E. Kyprianou, Ronnie Loeffen, Jose-Luis Perez
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy…
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Ronnie L. Loeffen, Pierre Patie
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability…
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
R. L. Loeffen
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski…
Refracted Levy processes
Andreas E. Kyprianou, Ronnie Loeffen
Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change b…