D
David Landriault
Researcher at University of Waterloo
Publications - 74
Citations - 1850
David Landriault is an academic researcher from University of Waterloo. The author has contributed to research in topics: Ruin theory & First-hitting-time model. The author has an hindex of 23, co-authored 70 publications receiving 1667 citations. Previous affiliations of David Landriault include Laval University.
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Poissonian potential measures for Lévy risk models
TL;DR: In this paper, the potential measures of spectrally negative Levy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process, are established in terms of newly defined Poissonian scale functions.
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On orderings and bounds in a generalized Sparre Andersen risk model
TL;DR: In this paper, a generalization of the Gerber-Shiu function proposed by Cheung et al. is used to derive some ordering properties for certain ruin-related quantities in a Sparre Andersen type risk model.
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A risk model with varying premiums: Its risk management implications
TL;DR: In this paper, the authors consider a risk model which allows the insurer to partially reflect the recent claim experience in the determination of the next period's premium rate, and derive a matrix-form defective renewal equation for the Gerber-Shiu function, and provide an explicit expression for the discounted joint density of the surplus prior to ruin and the deficit at ruin.
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Optimal dynamic risk sharing under the time-consistent mean-variance criterion
TL;DR: In this paper, the authors considered a dynamic Pareto optimal risk sharing problem under the time-consistent mean-variance criterion, where a group of n insurers are assumed to share an exogenous risk whose dynamics is modeled by a Levy process.
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Occupation times in the MAP risk model
David Landriault,Tianxiang Shi +1 more
TL;DR: In this paper, a closed-form expression for the Laplace transform of occupation times for surplus processes governed by a Markovian claim arrival process is provided, and the density of the total duration of negative surplus and its individual contributions when the number of claims occurring with negative surplus levels is jointly studied.