Ronnie Loeffen

Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria  office telephone: +43 (0)732 2468 5226 email: ronnie.loeffen -AT- oeaw.ac.at

Research interests:

• Lévy processes.
• Stochastic control problems.
• Insurance mathematics.
• Financial mathematics.

Papers and preprints:

• Lévy processes in finance distinguished by their coarse and fine path properties.
  
With A.E. Kyprianou.
Exotic option pricing and advanced Lévy models,  eds. A. Kyprianou, W. Schoutens and P. Wilmott. Wiley, 2005.
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes.
  Annals of Applied Probability 2008, Vol. 18, No. 5, 1669-1680.
• Refracted Lévy processes.
  
With A.E. Kyprianou.
To appear in Annales de l'Institut Henri Poincaré.
• An optimal dividends problem with a terminal value for spectrally negative Lévy processes with a completely monotone jump density.
  Journal of Applied Probability 2009, Vol. 46, No. 1, 85-98.
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes.
  Insurance: Mathematics and Economics 2009, Vol. 45, No. 1, 41-48.
• De Finetti's optimal dividends problem with an affine penalty function at ruin.
With J.-F. Renaud.
To appear in Insurance: Mathematics and Economics (Special Issue on Gerber-Shiu Functions).

Links:

• Ricam's people page