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1

On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

Albrecher, Hansjörg, Boxma, Onno J., Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 72 KB

english, 2014

2

First passage of a Markov additive process and generalized Jordan chains

D'Auria, Bernardo, Ivanovs, Jevgenijs, Kella, Offer, Mandjes, Michel

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 138 KB

english, 2010

3

First passage of time-reversible spectrally negative Markov additive processes

Jevgenijs Ivanovs, Michel Mandjes

Journal:

Operations Research Letters

Year:

2010

Language:

english

File:

PDF, 946 KB

english, 2010

4

Singularities of the matrix exponent of a Markov additive process with one-sided jumps

Jevgenijs Ivanovs, Onno Boxma, Michel Mandjes

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 426 KB

english, 2010

5

Occupation densities in solving exit problems for Markov additive processes and their reflections

Jevgenijs Ivanovs, Zbigniew Palmowski

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 256 KB

english, 2012

6

A note on killing with applications in risk theory

Jevgenijs Ivanovs

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 256 KB

english, 2013

7

Another look into decomposition results

Jevgenijs Ivanovs, Offer Kella

Journal:

Queueing Systems

Year:

2013

Language:

english

File:

PDF, 189 KB

english, 2013

8

A bivariate risk model with mutual deficit coverage

Ivanovs, Jevgenijs, Boxma, Onno

Journal:

Insurance: Mathematics and Economics

Year:

2015

Language:

english

File:

PDF, 459 KB

english, 2015

9

Transient analysis of a stationary Lévy-driven queue

Ivanovs, Jevgenijs, Mandjes, Michel

Journal:

Statistics & Probability Letters

Year:

2015

Language:

english

File:

PDF, 235 KB

english, 2015

10

MARKOV-MODULATED BROWNIAN MOTION WITH TWO REFLECTING BARRIERS

JEVGENIJS IVANOVS

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 1.11 MB

english, 2010

11

FIRST PASSAGE OF A MARKOV ADDITIVE PROCESS AND GENERALIZED JORDAN CHAINS

BERNARDO D'AURIA, JEVGENIJS IVANOVS, OFFER KELLA and MICHEL MANDJES

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 878 KB

english, 2010

12

Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 138 KB

english, 2014

13

Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 138 KB

english, 2014

14

Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations

Albrecher, Hansjörg, Ivanovs, Jevgenijs

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 414 KB

english, 2016

15

Time inhomogeneity in longest gap and longest run problems

Asmussen, Søren, Ivanovs, Jevgenijs, Nielsen, Anders Rønn

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 404 KB

english, 2016

16

Exit identities for Lévy processes observed at Poisson arrival times

Albrecher, Hansjörg, Ivanovs, Jevgenijs, Zhou, Xiaowen

Journal:

Year:

2016

Language:

english

File:

PDF, 186 KB

english, 2016

17

Markov-modulated Brownian motion with two reflecting barriers

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 171 KB

english, 2010

18

Splitting and time reversal for Markov additive processes

Ivanovs, Jevgenijs

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 562 KB

english, 2016

19

Linking dividends and capital injections – a probabilistic approach

Albrecher, Hansjörg, Ivanovs, Jevgenijs

Journal:

Scandinavian Actuarial Journal

Year:

2017

Language:

english

File:

PDF, 1.05 MB

english, 2017

20

Sparre Andersen identity and the last passage time

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2016

Language:

english

File:

PDF, 109 KB

english, 2016

21

Two Coupled Lévy Queues with Independent Input

Boxma, Onno, Ivanovs, Jevgenijs

Journal:

Stochastic Systems

Year:

2013

Language:

english

File:

PDF, 208 KB

english, 2013

22

A Lévy-derived process seen from its supremum and max-stable processes

Engelke, Sebastian, Ivanovs, Jevgenijs

Journal:

Electronic Journal of Probability

Year:

2016

Language:

english

File:

PDF, 432 KB

english, 2016

23

Robust bounds in multivariate extremes

Engelke, Sebastian, Ivanovs, Jevgenijs

Journal:

The Annals of Applied Probability

Year:

2017

Language:

english

File:

PDF, 524 KB

english, 2017

24

Discretization error for a two-sided reflected Lévy process

Asmussen, Søren, Ivanovs, Jevgenijs

Journal:

Queueing Systems

Year:

2018

Language:

english

File:

PDF, 663 KB

english, 2018

25

Zooming in on a Lévy process at its supremum

Ivanovs, Jevgenijs

Journal:

The Annals of Applied Probability

Year:

2018

Language:

english

File:

PDF, 309 KB

english, 2018

26

Markov-Modulated Brownian Motion with Two Reflecting Barriers

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 171 KB

english, 2010

27

On the longest gap between power-rate arrivals

Asmussen, Søren, Ivanovs, Jevgenijs, Segers, Johan

Journal:

Year:

2019

File:

PDF, 198 KB

2019

28

First Passage of a Markov Additive Process and Generalized Jordan Chains

D‘Auria, Bernardo, Ivanovs, Jevgenijs, Kella, Offer, Mandjes, Michel

Journal:

Journal of Applied Probability

Year:

2010

Language:

english

File:

PDF, 137 KB

english, 2010

29

A Risk Model with an Observer in a Markov Environment

Albrecher, Hansjörg, Ivanovs, Jevgenijs

Journal:

Year:

2013

Language:

english

File:

PDF, 311 KB

english, 2013

30

A Risk Model with an Observer in a Markov Environment

Albrecher, Hansjörg, Ivanovs, Jevgenijs

Journal:

Year:

2013

File:

PDF, 311 KB

2013

31

Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers

Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2014

File:

PDF, 167 KB

2014

32

On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

Albrecher, HansjÃ¶rg, Boxma, Onno J., Ivanovs, Jevgenijs

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 81 KB

english, 2014

33

Stochastic decompositions in bivariate risk and queueing models with mutual assistance

Ivanovs, Jevgenijs

Journal:

Stochastic Models

Year:

2020

File:

PDF, 1.75 MB

2020