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20152021
most citedOccupation times of general Lévy processes

2 citations · 3 across the 9 of their papers we have counts for

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math.PR2015

Pricing variable annuities with multi-layer expense strategy

Jiang Zhou, Lan Wu

We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account v…

math.PR2015

Occupation times of refracted Levy processes with jumps having rational Laplace transforms

Lan Wu, Jiang Zhou

We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace tr…