Department of Mathematical Sciences
University of Liverpool
Office: Room 304b, Dept of Mathematical Sciences, Peach Street, L69 7ZL, Liverpool, UK
RESEARCH INTERESTS
Lévy processes, Markov additive processes, Stochastic control problems, Insurance mathematics.
PUBLICATIONS
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 & 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, & L. Ramsden), Methodology and Computing in Applied Probability, 23:1057–1076
2019: On the time to ruin for a dependent delayed capital injection risk model (with Lewis Ramsden) , Applied Mathematics & 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: Asymptotic results for a Markov- modulated risk process with stochastic investment (with Lewis Ramsden), Journal of Computational & 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 S. Chadjiconstantinidis), Journal of Computational & 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 S. 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 S. Chadjiconstantinidis), Insurance: Mathematics and Economics, 45(3):470-484
GRADUATED PhD STUDENTS
Ramsden Lewis - Stochastic Risk Processes Applied to Capital Recovery Methods.
Meral Simsek - Fluctuation Theory for Omega-killed Stochastic Processes.