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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

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)

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