161 citations · 324 across the 16 of their papers we have counts for
3 papers · 2 filters
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
E. J. Baurdoux, A. E. Kyprianou, J. C. Pardo
In Gapeev and Kühn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with expo…
Smoothness of scale functions for spectrally negative Levy processes
Terence Chan, Andreas Kyprianou, Mladen Savov
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are oft…
General tax structures and the Levy insurance risk model
Andreas E. Kyprianou, Xiaowen Zhou
In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a Lévy insurance risk model with tax payments of a more general structure than in the aforementioned paper…