Occupation Times of Refracted Lévy Processes

Avram, F., Palmowski, Z., Pistorius, M.R.: On the optimal dividend problem for a spectrally negative Lévy process. Ann. Appl. Probab. 17, 156–180 (2007)

Bertoin, J.: Lévy Processes. Cambridge University Press, Cambridge (1996)

Chow, Y.S., Teicher, H.: Independence Interchangeability Martingales. Springer, New Yok (1978)

Furrer, H.: Risk processes perturbed by $$\alpha $$ α -stable Lévy motion. Scand. Actuar. J. 1998(1), 59–74 (1998)

Huzak, M., Perman, M., Šikić, H., Vondraček, Z.: Ruin probabilities and decompositions for general perturbed risk processes. Ann. Appl. Probab. 14, 1378–1397 (2004)

Huzak, M., Perman, M., Šikić, H., Vondraček, Z.: Ruin probabilities for competing claim processes. J. Appl. Probab. 41, 679–690 (2004)

Kuznetsov, A., Kyprianou, A.E., Rivero, V.: The theory of scale functions for spectrally negative Lévy processes. Lévy Matters II, Springer Lecture Notes in Mathematics (2013)

Klüppelberg, C., Kyprianou, A.E., Maller, R.A.: Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14, 1766–1801 (2004)

Klüppelberg, C., Kyprianou, A.E.: On extreme ruinous behaviour of Lévy insurance risk processes. J. Appl. Probab. 43(2), 594–598 (2006)

Kyprianou, A.E.: Introductory Lectures on Fluctuations of Lévy Processes with Applications. Springer, Berlin (2006)

Kyprianou, A.E., Loeffen, R.: Refracted Lévy processes. Ann. Inst. H. Poincaré 46(1), 24–44 (2010)

Kyprianou, A.E., Palmowski, Z.: Distributional study of de Finetti’s dividend problem for a general Lévy insurance risk process. J. Appl. Probab. 44, 349–365 (2007)

Landriault, D., Renaud, J-F., Zhou, X.: Insurance risk models with Parisian implementation delays, Submitted (2011) www.ssrn.com/abstract=1744193

Landriault, D., Renaud, J.-F., Zhou, X.: Occupation times of spectrally negative Lévy processes with applications. Stoch. Process. Appl. 121, 2629–2641 (2011)

Lambert, A., Simatos, F., Zwart, B.: Scaling limits via excursion theory: interplay between Crump-Mode-Jagers branching processes and processor-sharing queues. To appear in Ann. Appl. Prob. (2013)

Loeffen, R. L., Renaud, J-F., Zhou, X.: Occupation times of intervals untill first passage times for spectrally negative Lévy processes with applications. Submitted (2012) arxiv:1207.1592

Renaud, J.-F., Zhou, X.: Distribution of the dividend payments in a general Lévy risk model. J. Appl. Probab. 44, 420–427 (2007)

Song, R., Vondraček, Z.: On suprema of Lévy processes and application in risk theory. Ann. lnst. H. Poincaré 44, 977–986 (2008)