Publications

• An optimization dichotomy for capital injections and absolutely continuous dividend strategies (with A. Roch & C. Simard)
  submitted, 2023.

• Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous strategies subject to Parisian ruin (with F. Locas*)
  submitted, 2023.

• De Finetti's control problem with a concave bound on the control rate (with F. Locas*)

Journal of Applied Probability 61, no. 3, 2024. (arXiv)

• A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin
  Statistics & Probability Letters, vol. 206, March 2024. (arXiv)

• A stochastic control problem with linearly bounded control rates in a Brownian model (with C. Simard)
  SIAM Journal on Control and Optimization, vol. 59, issue 5, 3103-3117, 2021. (arXiv)

• The Løkka-Zervos alternative for a Cramér-Lundberg process with exponential jumps (with F. Avram & D. Goreac)
  Risks, Special Issue Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics, 7 (4), 120, 2019.

• De Finetti's control problem with Parisian ruin for spectrally negative Lévy processes
  Risks, Special Issue Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics, 7 (3), 73, 2019. (arXiv)

• A unified approach to ruin probabilities with delays for spectrally negative Lévy processes (with M.A. Lkabous*)
  Scandinavian Actuarial Journal, issue 8, 711-728, 2019. (arXiv)

• A VaR-type risk measure derived from cumulative Parisian ruin for the classical risk model (with M.A. Lkabous*)
  Risks, Special Issue Risk, Ruin and Survival: Decision Making in Insurance and Finance, 6 (3), 85, 2018.

• Parisian ruin for a refracted Lévy process (with M.A. Lkabous* & I. Czarna)
  Insurance: Mathematics and Economics, vol. 74, 153-163, 2017. (arXiv)

• On the distribution of cumulative Parisian ruin (with H. Guérin)
  Insurance: Mathematics and Economics, vol. 73C, 116-123, 2017. (arXiv)

• Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes (with E.J. Baurdoux, J.C. Pardo & J.L. Pérez)
  Journal of Applied Probability 53, no. 2, 572-584, 2016. (arXiv)

• A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes (with I. Czarna)
  Statistics & Probability Letters, vol. 113, 54-61, 2016.

• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (with H. Guérin)
  Advances in Applied Probability 48, no. 1, 274-297, 2016. (arXiv)

• Pricing occupation-time options in a mixed-exponential jump-diffusion model (with D. Ait Aoudia*)
  Applied Mathematical Finance 23, issue 1, 1-21, 2016. (arXiv)

• On the time spent in the red by a refracted Lévy risk process
  Journal of Applied Probability 51, no. 4, 1171-1188, 2014. (arXiv)

• Occupation times of intervals until first passage times for spectrally negative Lévy processes (with R.L. Loeffen & X. Zhou)
  Stochastic Processes and their Applications 124, issue 3, 1408-1435, 2014. (arXiv)

• An insurance risk model with Parisian implementation delays (with D. Landriault & X. Zhou)
  Methodology and Computing in Applied Probability 16, issue 3, 583-607, 2014.

• A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing (with C. Labbé & B. Rémillard)
  Journal of Computational Finance 15. no. 2, 1-33, 2011. (ssrn, arXiv).

• Occupation times of spectrally negative Lévy processes with applications (with D. Landriault & X. Zhou)
  Stochastic Processes and their Applications 121, issue 11, 2629-2641, 2011. (arXiv).

• A martingale representation for the maximum of a Lévy process (with B. Rémillard)
  Communications on Stochastic Analysis 5, vol. 4, 683-688, 2011.

• De Finetti's optimal dividends problem with an affine penalty function at ruin (with R.L. Loeffen)
  Insurance: Mathematics and Economics 46, issue 1, 98-108, 2010.

• The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure
  Insurance: Mathematics and Economics 45, issue 2, 242-246, 2009.

• A Lévy insurance risk process with tax (with H. Albrecher & X. Zhou)
  Journal of Applied Probability 45, no. 2, 363-375, 2008.

• Distribution of the present value of dividend payments in a Lévy risk model (with X. Zhou)
  Journal of Applied Probability 44, no. 2, 420-427, 2007.

• Explicit martingale representations for Brownian functionals and applications to option hedging (with B. Rémillard)
  Stochastic Analysis and Applications 25, no. 4, 801-820, 2007.

• Actuarial Finance: Derivatives, Quantitative Models and Risk Management (with M. Boudreault), Wiley, 2019.