
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory


On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t


On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model


Lévy systems and the time value of ruin for Markov additive processes

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes


Risk measures on the space of infinite sequences


On a generalization of the Gerber–Shiu function to path-dependent penalties


On the expected discounted penalty function for a perturbed risk process driven by a subordinator