5 citations · 16 across the 14 of their papers we have counts for
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Solving an Integral Equation Arising from the Ruin Probability of Long-term Bonus-Malus Systems
Dan Kucerovsky, Amir T. Payandeh Najafabadi
This article studies in detail the solution of an integral equation due to Rongming et al. [13]. The methods involve complex analysis. As an application, we find the ruin probabili…
On the Distribution of Extrema for a Class of Lévy Processes
Amir T. Payandeh Najafabadi, Dan Kucerovsky
Suppose Xt is either a regular exponential type Levy process or a Levy process with a bounded variation jumps measure. The distribution of the extrema of Xt play a crucial role in…
On Approximating Ruin Probability of Double Stochastic Compound Poisson Processes
Amir T. Payandeh Najafabadi, Dan Kucerovsky
Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for t…
A Weak Approximation for the Extrema's Distributions of Lévy Processes
Amir T. Payandeh Najafabadi, Dan Z. Kucerovsky
Suppose is a one-dimensional and real-valued Lévy process started from , which ({\bf 1}) its nonnegative jumps measure satisfying $\int_{\Bbb R}\min\{1,x^2\}ν(dx…
On the Riemann-Hilbert factorization problem for positive definite functions
Dan Kucerovsky, Amir T. P. Najafabadi, Aydin Sarraf
We give several general theorems concerning positive definite solutions of Riemann-Hilbert problems on the real line. Furthermore, as an example, we apply our theory to the charact…