319 citations · 665 across the 78 of their papers we have counts for
7 papers · 1 filter
Ruin probability for the quota share model with~phase-type distributed claims
Krzysztof Burnecki, Zbigniew Palmowski, Marek Teuerle +1
In this paper, we generalise the results presented in the literature for the ruin probability for the insurer--reinsurer model under a pro-rata reinsurance contract. We consider cl…
Last passage American cancellable option in Lévy models
Zbigniew Palmowski, Paweł Stępniak
We derive the explicit price of the perpetual American put option cancelled at the last passage time of the underlying above some fixed level. We assume the asset process is govern…
Pricing Perpetual American put options with asset-dependent discounting
Jonas Al-Hadad, Zbigniew Palmowski
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can…
Perpetual American options with asset-dependent discounting
Jonas Al-Hadad, Zbigniew Palmowski
In this paper we consider the following optimal stopping problem where the process …
Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
Julia Eisenberg, Zbigniew Palmowski
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our…
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Zbigniew Palmowski, Budhi Surya
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, als…