227 citations · 234 across the 5 of their papers we have counts for
7 papers · 1 filter
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 $\…
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…
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…
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…