99 citations · 127 across the 11 of their papers we have counts for
13 papers
Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
Irmina Czarna, Adam Kaszubowski
In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted Lévy process and the ruin time is considered w…
Fluctuation identities for omega-killed Markov additive processes and dividend problem
Irmina Czarna, Adam Kaszubowski, Shu Li +1
In this paper we solve the exit problems for an one-sided Markov additive process (MAP) which is exponentially killed with a bivariate killing intensity dependent…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…
Fluctuation theory for level-dependent Lévy risk processes
Irmina Czarna, José-Luis Pérez, Tomasz Rolski +1
A level-dependent Lévy process solves the stochastic differential equation , where is a spectrally negative Lévy process. A special case is a multi-re…
Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments…
The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk…
Parisian ruin for a refracted Lévy process
Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud
In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. More general Parisian boundary-crossing probl…
Parisian quasi-stationary distributions for asymmetric Lévy processes
Irmina Czarna, Zbigniew Palmowski
In recent years there has been some focus on quasi-stationary behaviour of an one-dimensional Lévy process , where we ask for the law for a…
Discrete time ruin probability with Parisian delay
Irmina Czarna, Zbigniew Palmowski, Przemysław Światek
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time .…
Parisian ruin probability for spectrally negative Lévy processes
Ronnie Loeffen, Irmina Czarna, Zbigniew Palmowski
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an…
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Irmina Czarna, Zbigniew Palmowski
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time . We focus on general spectral…
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Irmina Czarna, Zbigniew Palmowski
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when Parisian del…
De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process
Irmina Czarna, Zbigniew Palmowski
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each cla…