319 citations · 464 across the 28 of their papers we have counts for
4 papers · 1 filter
Pricing Equity Default Swaps under an approximation to the CGMY Lé% vy Model
Soeren Asmussen, Dilip Madan, Martijn Pistorius
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first pas…
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 the optimal dividend problem for a spectrally negative Lévy process
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments…