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For the Cram6r-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian… (More)

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Levy model, and uses it to implement of Carr's approximation for the value… (More)

Abstract In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims. Our result generalizes… (More)

- Peter Diko, Miguel Usábel
- 2011

A generalization of the Cramer-Lundberg risk model perturbed by a diffusion is proposed. Aggregate claims of an insurer follow a compound Poisson process and premiums are collected at a constant rate… (More)

- Miguel Usábel
- 1997

In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level(random instantaneous rate &i) for a random period of time(ti) until a new random rate should be… (More)

- Miguel Usábel
- 1997

The Stehfest-Gaver method of inverting Laplace transforms is a very useful tool in approximating non-ruin probabilities. An accuracy of 6 to 10 significant digits is obtained in every case studied… (More)

- Miguel Usábel
- 2001

A method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin… (More)

- Miguel Usábel
- 1999

Abstract Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but… (More)

- Miguel Usábel
- 1998

Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity… (More)