Personal webpage Ronnie Loeffen

Dr Ronnie Loeffen
Senior Lecturer in Financial and Actuarial Mathematics
Institute for Financial and Actuarial Mathematics (IFAM)
Department of Mathematical Sciences
University of Liverpool
Liverpool L69 7ZL, UK
Office: Room 307 in the Mathematical Sciences Building
E-mail: ronnie.loeffen@liverpool.ac.uk

Research interests

Graduated PhD students

Publications

  1. Loeffen, R.L., Patie, P. and Wang, J. Fluctuation theory of continuous-time skip-free downward Markov chains with applications to branching processes with immigration. To appear in Mathematics of Operations Research.
  2. Constantinescu, C., Loeffen, R.L. and Patie, P. First passage times over stochastic boundaries for subdiffusive processes. Transactions of the American Mathematical Society, 2022, Vol. 375, Number 3, 1629-1652.
  3. Al Ghanim, D., Loeffen, R.L. and Watson, A.R. The equivalence of two tax processes. Insurance: Mathematics and Economics, 2020, Vol. 90, 1-6.
  4. Loeffen, R.L. Patie, P. and Savov, M. Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Journal of Statistical Physics, 2019, Vol. 175, Issue 5, 1022-1041.
  5. Loeffen, R.L, Palmowski, Z. and Surya, B. Discounted Penalty Function at Parisian Ruin for Lévy Insurance Risk Process. Insurance Mathematics and Economics, 2018, Vol. 83, 190-197.
  6. Chazal, M., Loeffen, R.L. and Patie, P. Smoothness of continuous state branching with immigration semigroups. Journal of Mathematical Analysis and Applications, 2018, Vol. 459, Issue 2, 619-660.
  7. Chazal, M., Loeffen, R.L. and Patie, P. Option pricing in a one-dimensional affine term structure model via spectral representations. SIAM Journal on Financial Mathematics, 2018, Vol. 9, Issue 2, 634-664.
  8. Loeffen, R.L., Renaud, J.-F. and Zhou, X.Occupation times of intervals until first passage times for spectrally negative Lévy processes. Stochastic Processes and their Applications, 2014, Vol. 124, No. 3, 1408-1435.
  9. Czarna, I., Loeffen, R.L. and Palmowski, Z. Parisian ruin probability for spectrally negative Lévy processes. Bernoulli, 2013, Vol. 19, No. 2, 599-609.
  10. Bayer, C., Friz, P.and Loeffen, R.L. Semi-closed form cubature and applications to financial diffusion models. Quantitative Finance, 2013, Vol. 13, No. 5, 769-782.
  11. Kyprianou, A.E., Loeffen, R.L. and Perez, J.-L. Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Journal of Applied Probability, 2012, Vol. 49, No.1, 150-166.
  12. Loeffen, R.L. and Renaud, J.-F. De Finetti’s optimal dividends problem with an affine penalty function at ruin. Insurance: Mathematics and Economics (Special Issue on Gerber-Shiu Functions), 2010, Vol. 46, No. 1, 98-108.
  13. Kyprianou, A.E. and Loeffen, R.L. Refracted Lévy processes. Annales de l’Institut Henri Poincaré, Probabilités et Statistiques, 2010, Vol. 46, No. 1, 24-44.
  14. Loeffen, R.L. An optimal dividends problem with transaction costs for spectrally negative Lévy processes. Insurance: Mathematics and Economics, 2009, Vol. 45, No. 1, 41-48.
  15. Loeffen, R.L. An optimal dividends problem with a terminal value for spectrally negative Lévy processes with a completely monotone jump density. Journal of Applied Probability, 2009, Vol. 46, No. 1, 85-98.
  16. Loeffen, R.L. On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Annals of Applied Probability, 2008, Vol. 18, No. 5, 1669-1680.
  17. Kyprianou, A.E. and Loeffen, R.L. (2005) Lévy processes in finance distinguished by their coarse and fine path properties. Exotic option pricing and advanced Lévy models , Eds. A. Kyprianou, W. Schoutens and P. Wilmott. Wiley.

Preprints

Last updated on 19 May 2024