Erik J. Baurdoux

Statistics

Publications

Citations

279

H-Index

Active since

2004

Affiliations

London School of Economics and Political Science(Current)

Utrecht University

Kansai University

Mathematics Research Center

Erik J. Baurdoux is an author at London School of Economics and Political Science specializing in stochastic processes, probability theory, and lévy processes.

Publications per year

2004–2017

Publications

Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

Erik J. Baurdoux, Juan Carlos Pardo, José Luis Pérez et al. · Journal of Applied Probability · 2016 · 57 citations · Full text

Engineering, Insurance, Mathematics +11

The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process

Erik J. Baurdoux, Andreas E. Kyprianou · Theory of Probability and Its Applications · 2009 · 41 citations · Full text

Engineering, Finance, Probability Theory +12

The McKean stochastic game driven by a spectrally negative Lévy process

Erik J. Baurdoux, Andreas E. Kyprianou · Electronic Journal of Probability · 2008 · 38 citations · Full text

Engineering, Mathematics, Game Theory +12

Further calculations for Israeli options

Erik J. Baurdoux, Andreas E. Kyprianou · Stochastics and stochastics reports · 2004 · 34 citations · Full text

Natural Sciences, Economics, Mathematics +14

Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes

Erik J. Baurdoux · Journal of Applied Probability · 2009 · 26 citations · Full text

Natural Sciences, Mathematics, Financial Economics +7

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