On the distribution of cumulative Parisian ruin

DOI10.1016/j.insmatheco.2017.01.009zbMath1397.91285arXiv1509.06857OpenAlexW2211023200MaRDI QIDQ1681195

Hélène Guérin, Jean-François Renaud

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.06857

zbMATH Keywords

occupation timeCramér-Lundberg modelcumulative Parisian ruinfinite-time ruinLévy risk models

Mathematics Subject Classification ID

Related Items (20)

Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Parisian ruin for a refracted Lévy process ⋮ Sensitivity analysis of some applied probability models ⋮ Poisson-Gamma mixture processes and applications to premium calculation ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Bridging the first and last passage times for Lévy models ⋮ Approximating the classical risk process by stable Lévy motion ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Sojourn times of Gaussian processes with trend ⋮ Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital ⋮ Unnamed Item ⋮ On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models ⋮ A unified approach to ruin probabilities with delays for spectrally negative Lévy processes ⋮ Minimizing the probability of lifetime exponential Parisian ruin ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ The time of ultimate recovery in Gaussian risk model ⋮ On occupation times in the red of Lévy risk models ⋮ Poissonian occupation times of spectrally negative Lévy processes with applications

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