RESEARCH INTERESTS

Lévy processes, Markov additive processes, Stochastic control problems, Insurance mathematics.

GRADUATED PhD STUDENTS

Ramsden Lewis, Un of Liverpool - Stochastic risk processes applied to capital recovery methods. 

Meral Simsek, Middle East Techincal Un.- Fluctuation theory for Omega-killed stochastic processes. 

Noah Beelders, Un of Liverpool - Spectrally negative Lévy processes under Poissonian modifications

PUBLICATIONS

2026: Lévy processes under level-dependent Poisson switching, with Noah Beelders & Ramsden Lewis.  Journal of Applied Probability,1-34. 

2025: Fluctuations of  Omega-killed level-dependent spectrally negative Lévy processes, with Zbigniew Palmowski & Meral Simsek.  Stochastic Processes and their Applications, 185: 104617. 

2024: Fluctuations of Omega-type killed processes in discrete time, with Meral Simsek & Lewis Ramsden.  Modern Stochastics: Theory and Applications,  11, 4, 459–478

2024: Exit times for a discrete Markov additive process, with Zbigniew Palmowski & Lewis Ramsden. Journal of Theoretical Probability, 37: 1052–1078

2024: Gerber-Shiu Theory for discrete risk processes in a regime switching environment, with Zbigniew Palmowski & Lewis Ramsden. Applied Mathematics and Computation, 467, 128491

2022: Recursive approaches for multi-Layer dividend strategies in a phase-type renewal risk model. with Lewis Ramsden, RISKS, 11 (1)

2020: On delayed capital injections for risk processes with Markovian arrivals, with Athanikkal. Dibu, Machuveettil C. Jacob, & Lewis Ramsden. Methodology and Computing in Applied Probability, 23:1057–1076

2019: Ruin probabilities under capital constraints, with Lewis Ramsden. Insurance: Mathematics and Economics, Vol 88, 273-282

2019: On the time to ruin for a dependent delayed capital injection risk model, with Lewis Ramsden. Applied Mathematics and Computation, Vol 352, 119-135

2018: Parisian ruin for the dual risk process in discrete-time, with Zbigniew Palmowski & Lewis Ramsden. European Actuarial Journal, Vol 8, Issue 1, 197-214

2017:  Pricing and simulating catastrophe risk bonds in a Markov-dependent environment, with Jia Shao & Athanasios Pantelous. Applied Mathematics and Computation, 309: 68-84

2017:  Asymptotic results for a Markov- modulated risk process with stochastic investment with Lewis Ramsden. Journal of Computational and Applied Mathematics, 313: 38-53

2015:  Catastrophe risk bonds with applications to earthquakes, with Jia. Shao, & Athanasios Pantelous, European Actuarial Journal, 5(1):113-138

2013: On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy, with Stathis Chadjiconstantinidis. Journal of Computational and Applied Mathematics, 253: 26-50

2010: The Gerber-Shiu Penalty Function for a Risk Process with Two Classes of Claims under a Multi-layer Dividend Strategy, with Stathis Chadjiconstantinidis.  Proceedings - 6th International Conference in Actuarial Science, (9), 1-21 

2009: Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims, with Stathis Chadjiconstantinidis. Insurance: Mathematics and Economics, 45(3):470-484