Ronnie Loeffen
Probability and Statistics
- Room 2.122, Alan Turing Building
- School of Mathematics,
- University of Manchester
- Oxford Road, Manchester M13 9PL, UK
- ronnie.loeffen[at]manchester.ac.uk
- Tel: +44 (0) 161 30 63654
School Responsibilities:
Lecturer in Actuarial Science
Research interests
- Lévy processes.
- Stochastic control problems.
- Insurance mathematics.
- Financial mathematics.
Teaching
- 2011/2012 Semester 1:
Actuarial Models (MATH39511&69511).
2011/2012 Semester 2: Risk Theory (MATH39542&69542). - 2012/2013 Semester 1: Actuarial Models (MATH39511&69511). 2012/2013 Semester 2: Risk Theory (MATH39542&69542).
Publications
- Lévy processes in finance distinguished by their coarse and fine path properties.
With A.E. Kyprianou.
Exotic option pricing and advanced Lévy models, eds. A. Kyprianou, W. Schoutens and P. Wilmott. Wiley, 2005. - 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. - Refracted
Lévy processes.
With A.E. Kyprianou.
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 2010, Vol. 46, No. 1, 24-44 . - 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. - An optimal dividends problem with transaction costs for spectrally negative
Lévy processes.
Insurance: Mathematics and Economics 2009, Vol. 45, No. 1, 41-48. - De Finetti's optimal dividends problem with an affine penalty function
at ruin.
With J.-F. Renaud.
Insurance: Mathematics and Economics 2010, Vol. 46, No. 1, 98-108 (Special Issue on Gerber-Shiu Functions). - Optimal control with absolutely continuous strategies for spectrally negative Lévy processes.
With A.E. Kyprianou and J.-L. Pérez.
Journal of Applied Probability 2012, Vol. 49, No. 1, 150-166. - Parisian ruin probability for spectrally negative Lévy processes.
With I. Czarna and Z. Palmowski.
Bernoulli 2013, Vol. 19, No. 2, 599-609. - Semi-Closed Form Cubature and Applications to Financial Diffusion Models.
With C. Bayer and P. Friz.
To appear in Quantitative Finance . - Occupation times of intervals until first passage times for spectrally negative Lévy processes. .
With J.-F. Renaud and X. Zhou.
Submitted.