Erik J. Baurdoux

most citedGerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes

8 citations · 9 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2020

$L_{p}$ optimal prediction of the last zero of a spectrally negative Lévy process

Erik J. Baurdoux, J. M. Pedraza

Given a spectrally negative Lévy process $X$ drifting to infinity, (inspired on the early ideas of Shiryaev (2002)) we are interested in finding a stopping time that minimises the…

math.PR2014★ 1 cited

On Future Drawdowns of Lévy processes

E. J. Baurdoux, Z. Palmowski, M. R. Pistorius

For a given Lévy process $X = (X_{t})_{t \in R_{+}}$ and for fixed $s \in R_{+} \cup {\infty}$ and $t \in R_{+}$ we analyse the {\it future drawdown extremes} that ar…

math.PR2014★ 8 cited

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…

Lp​ optimal prediction of the last zero of a spectrally negative Lévy process

On Future Drawdowns of Lévy processes

Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes

$L_{p}$ optimal prediction of the last zero of a spectrally negative Lévy process