In this paper we consider Lévy processes without negative jumps, reflected at the origin. Feedback information about the level of the Lévy process ('workload level') may lead to adaptation of the Lévy ...

Ruin probability quantifies the risk that an insurer or financial institution’s liabilities may exceed its assets, ultimately leading to insolvency. Recent advancements in risk management have ...

Journal of Applied Probability, Vol. 47, No. 4 (DECEMBER 2010), pp. 1023-1033 (11 pages) In this paper we study the Wiener—Hopf factorization for a class of Lévy processes with double-sided jumps, ...

Most structural models for valuing corporate securities assume a geometric Brownian motion to describe the value of a firm’s assets. However, this does not reflect market stylized features: the ...

We propose a new control variate method combined with a characteristic function approach for pricing path-dependent options under time-changed Lévy models. In this method, we generate a process that ...

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