8 citations · 15 across the 12 of their papers we have counts for
11 papers · 1 filter
Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities
Hélène Guérin, Michel Mandjes, Jean-François Renaud +1
Epidemic dynamics introduce time-varying heterogeneity into insured populations, as individuals' risk profiles depend on their evolving health status, thereby challenging classical…
A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin
Jean-François Renaud
In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally ne…
A stochastic control problem with linearly bounded control rates in a Brownian model
Jean-François Renaud, Clarence Simard
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected…
De Finetti's control problem with Parisian ruin for spectrally negative Lévy processes
Jean-François Renaud
We consider de Finetti's stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized versi…
Pricing occupation-time options in a mixed-exponential jump-diffusion model
Djilali Ait Aoudia, Jean-François Renaud
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponen…
On the distribution of cumulative Parisian ruin
Hélène Guérin, Jean-François Renaud
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation f…
Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes
E. J. Baurdoux, J. C. Pardo, J. L. Pérez +1
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative Lévy process with Parisian impl…
On the time spent in the red by a refracted Lévy risk process
Jean-François Renaud
In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distin…
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…
Occupation times of spectrally negative Lévy processes with applications
David Landriault, Jean-François Renaud, Xiaowen Zhou
In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results f…
Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable Lévy process
Jean-François Renaud, Bruno Rémillard
In this paper, we construct a Malliavin derivative for functionals of square-integrable Lévy processes and derive a Clark-Ocone formula. The Malliavin derivative is defined via cha…