185 citations · 819 across the 64 of their papers we have counts for
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math.PR2005★ 185 cited
Some remarks on first passage of Levy processes, the American put and pasting principles
L. Alili, A. E. Kyprianou
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot abo…
math.PR2005★ 161 cited
Ruin Probabilities and Overshoots for General Levy Insurance Risk Processes
Claudia Kluppelberg, Andreas E. Kyprianou, Ross A. Maller
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of th…