Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Refracted Lévy processes

Workshop: Concluding Workshop

Time: Thu, December 04, 2008, 10:45-11:15

Speaker: Ronnie Loeffen


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)

< Back | ^ Top

URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php

This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 11/28/22 - 15:29 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST