7 citations · 15 across the 4 of their papers we have counts for
5 papers · 1 filter
On additive time-changes of Feller processes
Aleksandar Mijatović, Martijn Pistorius
In this note we generalise the Phillips theorem on the subordination of Feller processes by Levy subordinators to the class of additive subordinators (i.e. subordinators with indep…
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process
Zbigniew Palmowski, Martijn Pistorius
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of…
A two-dimensional ruin problem on the positive quadrant
Florin Avram, Zbigniew Palmowski, Martijn Pistorius
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of th…
An explicit Skorokhod embedding for spectrally negative Levy processes
Jan Obloj, Martijn Pistorius
We present an explicit solution to the Skorokhod embedding problem for spectrally negative Lévy processes. Given a process and a target measure satisfying an explicit admis…
On maxima and ladder processes for a dense class of Levy processes
M. R. Pistorius
Consider the problem to explicitly calculate the law of the first passage time T(a) of a general Levy process Z above a positive level a. In this paper it is shown that the law of…