Complete list of publications. Some downloadable papers




  • On the valuation of constant barrier options under spectrally negative exponential Levy models and Carr's approximation for American puts. Avram, F, Chan, T. and Usabel, M. (2002). Stochastic Processes and their applications 101, pp 75-107..

  • Finite time ruin probabilities of processes with phase type jumps. Avram, F., Usabel, M., Insurance, Mathematics and Economics, { 32}, pp 371--377, 2003.

  • Ruin probabilities for risk processes with phase--type waiting times. F.Avram and M. Usabel, Astin Bulletin (2004), 34,2, pp 315-332.

  • The Erlang approximation of finite time ruin probabilities. S. Asmussen, Avram, F., Usabel, M. (2002), Astin Bulletin, vol. 32, pp 267-281.

  • The two barriers ruin problem via a Wiener Hopf decomposition approach. F.Avram, M. R. Pistorius and M. Usabel. Annalele Universitatii din Craiova 2003{ }(1).

  • The Pricing of exponential expiration Russian and lookback options under the spectrally negative exponential Levy model. Avram, F., A. Kyprianou and M. Pistorius, Annals of Applied Probability (2004), 14-1, pp 215-238.

  • Pricing American and Russian options under spectrally two-sided exponential Levy models. S. Asmussen, Avram, F., and M. Pistorius, Stoch. Proc. Appl. (2004), Vol. 109(1), Pages 79-111

  • D.A. Stanford, F.Avram, A.B. Badescu, L. Breuer, A. da Silva Soares, G. Latouche (2005). Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models. Astin Bul, 35, 131-144.

  • F. Avram, Z. Palmowski and M. Pistorius (2006). On the optimal dividend policy for a problem for a spectrally negative L\'{e}vy process. Annals of Applied Probability.

  • F. Avram, Z. Palmowski and M. Pistorius (2006). Exact results and precise asymptotics for the exit problem of a degenerate two-dimensional risk process from a cone. Submitted.