319 citations · 464 across the 28 of their papers we have counts for
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math.PR2011★ 43 cited
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
F. Avram, Z. Palmowski, M. R. Pistorius
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend p…
math.PR2011
On the drawdown of completely asymmetric Levy processes
Aleksandar Mijatovic, Martijn R. Pistorius
The {\em drawdown} process of a completely asymmetric Lévy process is equal to reflected at its running supremum : . In this paper we explicit…