7 citations · 15 across the 5 of their papers we have counts for
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math.PR2007★ 1 cited
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…
math.PR2007★ 7 cited
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…