110 citations · 164 across the 29 of their papers we have counts for
4 papers · 1 filter
A risk model with an observer in a Markov environment
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that…
Power identities for Lévy risk models under taxation and capital injections
Hansjoerg Albrecher, Jevgenijs Ivanovs
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can…
Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
Jevgenijs Ivanovs
Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes a…
Two coupled Levy queues with independent input
Onno Boxma, Jevgenijs Ivanovs
We consider a pair of coupled queues driven by independent spectrally-positive Levy processes. With respect to the bi-variate workload process this framework includes both the coup…