Presentation: Refracted Lévy processes
Workshop: Concluding Workshop
Time: Thu, December 04, 2008, 10:45-11:15
Speaker: Ronnie Loeffen
Abstract
We consider refracted Lévy processes which are Lévy processes (with no positive
jumps) whose dynamics change by subtracting off a linear drift whenever they are
above a pre-specified level. We pay special attention to the case when the Lévy
process is of unbounded variation with no Gaussian component since then the
existence of a refracted version turns out to be non-trivial. Further some
applications with respect to insurance risk processes will be mentioned. This is
joint work with Andreas Kyprianou.
Presentation slides (pdf, 631 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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