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Jevgenijs Ivanovs

Contact

Part-Time Lecturer
Department of Actuarial Science


Teaching

master Simulation Methods in Finance and Insurance
Related programmes
Master of Science (MSc) in Actuarial Science
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science
Master of Science (MSc) in Finance, Orientation Corporate Finance
Master of Science (MSc) in Finance, Orientation Asset and Risk Management

Publications

21 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Albrecher H. , Ivanovs J. (2018). Linking dividends and capital injections – a probabilistic approach. Scandinavian Actuarial Journal, 76-83. Peer Reviewed


Albrecher H. , Ivanovs J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and their Applications, 127, 643-656. Peer Reviewed


Albrecher H. , Ivanovs J. (2017). On the joint distribution of tax payments and capital injections for a Lévy risk model. Probability and Mathematical Statistics, 37, 219-227. Peer Reviewed


Albrecher H., Ivanovs J. ; Zhou X. (2016). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli, 22, 1364-1382. Peer Reviewed


Engelke S. , Ivanovs J. (2016). A Lévy-derived process seen from its supremum and max-stable processes. Electronic Journal of Probability, 21, NA. Peer Reviewed


Albrecher H., Asadi P. ; Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. Peer Reviewed


Albrecher H., Avram F., Constantinescu C. ; Ivanovs J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16, 245-258. Peer Reviewed


Albrecher H., Boxma O.J. ; Ivanovs J. (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability, 51, 293-296. Peer Reviewed


Albrecher H. , Ivanovs J. (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems, 4, 157-172. Peer Reviewed


Ivanovs J. (2014). Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers. Journal of Applied Probability, 51, 1154-1170. Peer Reviewed


Albrecher H. , Ivanovs J. (2013). A risk model with an observer in a Markov environment. Risks, 1, 148-161. Peer Reviewed


Boxma O. , Ivanovs J. (2013). Two coupled Lévy queues with independent input. Stochastic Systems, 3, 574-590. Peer Reviewed


Ivanovs J. (2013). A note on killing with applications in risk theory. Insurance: Mathematics and Economics, 52, 29-34. Peer Reviewed


Ivanovs J. , Kella O. (2013). Another look into decomposition results. Queueing Systems, 75, 19-28. Peer Reviewed


D'Auria B., Ivanovs J., Kella O. ; Mandjes M. (2012). Two-sided reflection of Markov-modulated Brownian motion. Stochastic Models, 28, 316-332. Peer Reviewed


Ivanovs J. , Palmowski Z. (2012). Occupation densities in solving exit problems for Markov additive processes and their reflections. Stochastic Processes and their Applications, 122, 3342-3360. Peer Reviewed


Boxma O., Ivanovs J., Kosinski K. ; Mandjes M. (2011). Lévy-driven polling systems and continuous-state branching processes. Stochastic Systems, 1, 411-436. Peer Reviewed


D'Auria B., Ivanovs J., Kella O. ; Mandjes M. (2010). First passage of a Markov additive process and generalized Jordan chains. Journal of Applied Probability, 47, 1048-1057. Peer Reviewed


Ivanovs J. (2010). Markov-modulated Brownian motion with two reflecting barriers. Journal of Applied Probability, 47, 1034-1047. Peer Reviewed


Ivanovs J., Boxma O. ; Mandjes M. (2010). Singularities of the matrix exponent of a Markov additive process with one-sided jumps. Stochastic Processes and their Applications, 120, 1776-1794. Peer Reviewed


Ivanovs J. , Mandjes M. (2010). First passage of time-reversible spectrally negative Markov additive processes. Operations Research Letters, 38, 77-81. Peer Reviewed



 
 
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