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In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected p...
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose pri...

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