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

In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk...

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

The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty...

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

Regime-switching models (RSM) have been recently used in the literature as alternatives to the Black-Scholes model. Several authors favor...

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

In this paper we study the ruin problem for an insurance risk process driven by a spectrally-positive Markov additive process. Particular...

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

We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where...

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

Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains...

## Risk measures on the space of infinite sequences

Axiomatically based risk measures have been the object of numerous studies and generalizations in recent years. In the literature we find...

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

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers. Motivated by applications in option...

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

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers [Gerber, H.U., Shiu, E.S.W., 1997. The...