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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On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models
TL;DR: In this paper, the authors consider the asymptotics of drawdown quantities when the threshold of the drawdown magnitude approaches zero and derive the law of duration of drawdowns for a large class of Levy processes (with a general spectrally negative part plus a positive compound Poisson structure).
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Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
TL;DR: In this article, the authors unify previous methodology through the use of Lagrange's expansion theorem, and provide insight into the nature of the series expansions by identifying the probabilistic contribution of each term in the expansion through analysis involving the distribution of the number of claims until ruin.
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Insurance Risk Models with Parisian Implementation Delays
TL;DR: In this paper, a new definition of the event "ruin" for an insurance risk model is considered, where the surplus process is allowed to spend time under a pre-specified default level before ruin is recognized.
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On the analysis of a multi-threshold Markovian risk model
TL;DR: In this paper, the authors consider a class of Markovian risk models perturbed by a multiple threshold dividend strategy and derive the Laplace-Stieltjes transform of the distribution of the time to ruin as well as the discounted joint density of the surplus prior to ruin and the deficit at ruin.
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Compound binomial risk model in a markovian environment
TL;DR: In this article, a compound binomial model defined in a markovian environment is proposed to approximate the risk model based on a particular Cox model, the marked Markov modulated Poisson process.