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We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…

In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and…

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L\'evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L\'evy…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…

Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…

Gevrey series are ubiquitous in analysis; any series satisfying some (possibly non-linear) analytic differential equation is Gevrey of some rational order. The present work stems from two observations: 1) the classical Gevrey series, e.g.…

Since Claude Shannon founded Information Theory, information theory has widely fostered other scientific fields, such as statistics, artificial intelligence, biology, behavioral science, neuroscience, economics, and finance. Unfortunately,…

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…

First passage problems for spectrally negative L\'evy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queueing, and inventory/storage theory. Historically, such…

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…

This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued L\'evy processes. Since the publication of the seminal survey by Bertoin and Yor, substantial advances have been made in…

Logistic regression model is widely used in many studies to investigate the relationship between a binary response variable $Y$ and a set of potential predictors $\mathbf X$. The binary response may represent, for example, the occurrence of…

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is…

Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…

In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\'evy process. Drawdown and drawup refer to the differences between the…

We introduce a class of interest rate models, called the $\alpha$-CIR model, which gives a natural extension of the standard CIR model by adopting the $\alpha$-stable L{\'e}vy process and preserving the branching property. This model allows…

Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…

Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes $(X_i,Y_i), i\ge 1$ and a claim counting random…

We extend the previous treatment of Liouville theory on the torus, to the general case in which the distribution of charges is not necessarily symmetric. This requires the concept of Fuchsian differential equation on Riemann surfaces. We…