9 citations · 31 across the 9 of their papers we have counts for
12 papers
Exact asymptotics of ruin probabilities with linear Hawkes arrivals
Zbigniew Palmowski, Simon Pojer, Stefan Thonhauser
In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed…
Ruin Probabilities in a Markovian Shot-Noise Environment
Simon Pojer, Stefan Thonhauser
We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cramér-Lundberg model, namely the con…
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
Time-inconsistent view on a dividend problem with penalty
Josef Anton Strini, Stefan Thonhauser
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies.…
On a dividend problem with random funding
Josef Anton Strini, Stefan Thonhauser
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted divi…
Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
Michael Preischl, Stefan Thonhauser
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing op…