15 citations · 35 across the 12 of their papers we have counts for
Showing 2015 · math.PRShow all
2 papers · 2 filters
math.PR2015★ 8 cited
On the Refracted-Reflected Spectrally Negative Lévy Processes
José-Luis Pérez, Kazutoshi Yamazaki
We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, when…
math.PR2015★ 5 cited
Lévy insurance risk processes with parisian type severity of debt
Juan Carlos Pardo, Jose Luis Perez, Victor Rivero
In this article, we introduce a new definition of bankruptcy for a spectrally negative Lévy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin…