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David Landriault's Publications

Referred Publications

  1. Landriault, D., Renaud, J.-F. and Zhou, X. (2011). Occupation times of spectrally negative Lévy processes with applications. Stochastic processes and their applications 212(11):  2629-2641.
  2. Landriault, D., Shi, T. and Willmot, G.E. (2011). Joint density involving the time to ruin in the Sparre Andersen risk model under the exponential assumption. Insurance: Mathematics and Economics 49(3): 371-379.
  3. Cheung, E.C.K., Landriault, D. and Badescu, A.L. (2011). On a generalization of the risk model with Markovian claim arrivals. Stochastic Models 27(3): 407-430.
  4. Landriault, D. and Sendova, K.P. (2011). A direct approach to a first passage problem with applications in risk theory. Stochastic Models 27(3): 388-406.
  5. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2011). On ordering and bounds in a generalized Sparre Andersen risk model. AppliedStochastic Models in Business and Industry 27(1): 51-60.
  6. Cheung, E.C.K. and Landriault, D. (2011). On a risk model with surplus-dependent premium and tax rates. AppliedStochastic Models in Business and Industry. In press.
  7. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2010). Gerber-Shiu analysis with a generalized penalty function. Scandinavian Actuarial Journal 2010(3): 185-199.
  8. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2010). Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models. Insurance: Mathematics and Economics 46(1): 117-126.
  9. Cheung, E.C.K. and Landriault, D. (2010). A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model. Insurance: Mathematics and Economics 46(1): 127-134.
  10. Cheung, E.C.K. and Landriault, D. (2009). Analysis of a generalized penalty function in a semi-Markovian risk model. North American Actuarial Journal 13(4): 497-513.
  11. Landriault, D. and G.E. Willmot (2009). On the joint distributions of the time to ruin, the surplus prior to ruin and the deficit at ruin in the classical risk model. North American Actuarial Journal 13(2): 252-270.
  12. Cheung, E.C.K. and Landriault, D. (2009). Perturbed MAP risk models with dividend barrier strategies. Journal of Applied Probability 46(2): 521-541.
  13. Badescu, A.L. and Landriault, D. (2009). Applications of matrix analytic methods in ruin theory - a review. Revista de la Real Academia de Ciencias Serie A Matemáticas 103(2): 353-372.
  14. Badescu, A.L., Cheung, E.C.K. and Landriault, D. (2009). Dependent risk models with bivariate phase-type distributions. Journal of Applied Probability 46(1): 113-131.
  15. Albrecher, H., Badescu, A.L. and Landriault, D. (2008). On the dual risk model with taxation. Insurance: Mathematics and Economics. 42(3): 1086-1094.
  16. Landriault, D. (2008). On a generalization of the expected discounted penalty function in a discrete-time insurance risk model. AppliedStochastic Models in Business and Industry 24(6): 525-539.
  17. Badescu, A.L. and Landriault, D. (2008). Recursive calculation of the dividend moments in a multi-threshold risk model. North American Actuarial Journal 12(1): 1-15.
  18. Landriault, D. (2008). Constant dividend barrier in a risk model with time-dependent claim sizes. Insurance: Mathematics and Economics 42(1): 31-38.
  19. Landriault, D. and Willmot, G.E. (2008). On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution. Insurance: Mathematics and Economics 42(2): 600-608.
  20. Landriault, D. (2008). Randomized dividends in the compound binomial model with a general premium rate. Scandinavian Actuarial Journal 2008(1): 1-15.
  21. Badescu, A.L., Drekic, S. and Landriault, D. (2007). On the analysis of a multi-threshold Markovian risk model. Scandinavian Actuarial Journal 2007(4): 248-260.
  22. Badescu, A.L., Drekic, S. and Landriault, D. (2007). Analysis of a Threshold Dividend Strategy for a MAP Risk Model. Scandinavian Actuarial Journal 2007(4): 227-247.
  23. Badescu, A.L. and Landriault, D. (2007). Moments of the discounted dividends in a threshold-type Markovian risk process. Brazilian Journal of Probability and Statistics 2007(21): 13-25.
  24. Badescu, A.L. and Landriault, D. (2007). On the dividend moments in a Markovian risk process. Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance 2007: 92-97.
  25. Boudreault, M., Cossette, H., Landriault, D. and Marceau, E. (2006). On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian Actuarial Journal 2006(5): 265-285.
  26. Cossette, H., Landriault, D. and Marceau, E. (2006). Ruin probabilities in the discrete-time renewal risk model. Insurance: Mathematics and Economics 38(2): 309-323.
  27. Cossette, H., Landriault, D. and E. Marceau (2004). Compound binomial risk model in a Markovian environment. Insurance: Mathematics and Economics 35, 425-443.
  28. Cossette, H., Landriault, D. and E. Marceau (2004). Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Insurance: Mathematics and Economics 34, 449-466.
  29. Cossette, H., Landriault, D. and E. Marceau (2004). Risk measures related to the surplus process in the compound Markov binomial model. Bulletin of the Association of Swiss Actuaries 1, 77-114.
  30. Cossette, H., Landriault, D. and E. Marceau (2003). Ruin probabilities in the Compound Markov Binomial Model, Scandinavian Actuarial Journal, 301-323.

Referred Publications (Submitted for publication)

  1. Cossette, H., Landriault, D., Marceau, E., and Moutanabbir, K. (2011). Capital assessment and ruin theory. Submitted.
  2. Landriault, D., Renaud, J.-F. and Zhou, X. (2011). Insurance risk models with Parisian implementation delays. Submitted.
  3. Landriault, D., Shi, T. (2011). First passage time: Kendall’s identity and Lagrange’s expansion theorem. Submitted.

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