Jean-François Renaud
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
2012/07/06 by Ronnie L. Loeffen, Loeffen, Ronnie L., Jean-François Renaud +3 · 5 citations
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR
- Occupation times of spectrally negative Lévy processes with applications
2010/12/15 by David Landriault, Landriault, David, Jean-François Renaud +4 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #math.PR
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
2014/06/12 by Hélène Guérin, Jean‐François Renaud, Guérin, Hélène +2 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR
- On the time spent in the red by a refracted Lévy risk process
2013/06/19 by Jean-François Renaud, Jean-Fran ccois Renaud, Renaud, Jean-François · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Economics and business #FOS: Mathematics #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Risk Management (q-fin.RM) #math.PR #q-fin.RM