319 citations · 484 across the 28 of their papers we have counts for
19 papers · 1 filter
A Review of First-Passage Theory for the Segerdahl Risk Process and Extensions
Florin Avram, Jose-Luis Perez-Garmendia
The Segerdahl process (Segerdahl (1955)), characterized by exponential claims and affine drift, has drawn a considerable amount of interest -- see, for example, (Tichy (1984); Avra…
Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
C. Vardar-Acar, M. Caglar, F. Avram
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an i…
Beyond Wentzell-Freidlin: semi-deterministic approximations for diffusions with small noise and a repulsive critical boundary point
Florin Avram, Jacky Cresson
We extend below a limit theorem of Baker, Chigansky, Hamza and Klebaner (2018) for diffusion models used in population theory.
General drawdown of general tax model in a time-homogeneous Markov framework
Florin Avram, Bin Li, Shu Li
Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered th…
First passage problems for upwards skip-free random walks via the paradigm
Florin Avram, Matija Vidmar
We develop the theory of the and scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory…
The scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends
Florin Avram, Danijel Grahovac, Ceren Vardar-Acar
First passage problems for spectrally negative Lévy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queue…