Dr Ronnie Loeffen

Senior Lecturer in Financial and Actuarial Mathematics
Mathematical Sciences

Part of
School of Physical Sciences
Faculty of Science and Engineering

Contact

Ronnie.Loeffen@liverpool.ac.uk

Personal webpage

Publications

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2024

Stochastic optimal control of Lévy tax processes with bailouts

: Preprint

Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

Loeffen, R., Patie, P., & Wang, J. (2024). Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration. Mathematics of Operations Research.

: Journal article

2022

Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration

: Preprint

2019

FIRST PASSAGE TIMES OVER STOCHASTIC BOUNDARIES FOR SUBDIFFUSIVE PROCESSES

Constantinescu, C., Loeffen, R., & Patie, P. (2022). FIRST PASSAGE TIMES OVER STOCHASTIC BOUNDARIES FOR SUBDIFFUSIVE PROCESSES. TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY, 375(3), 1629-1652. doi:10.1090/tran/8534

DOI: 10.1090/tran/8534
: Journal article

2018

Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R., Palmowski, Z., & Surya, B. A. (2018). Discounted penalty function at Parisian ruin for Lévy insurance risk process. Insurance: Mathematics and Economics, 83, 190-197. doi:10.1016/j.insmatheco.2017.10.008

DOI: 10.1016/j.insmatheco.2017.10.008
: Journal article

2014

On obtaining simple identities for overshoots of spectrally negative Lévy processes

: Preprint

2010

Absolute ruin in the Ornstein-Uhlenbeck type risk model

Loeffen, R. L., & Patie, P. (2010). Absolute ruin in the Ornstein-Uhlenbeck type risk model. Retrieved from http://arxiv.org/abs/1006.2712v1

: Journal article