Parisian ruin probability for spectrally negative Lévy processes

DOI10.3150/11-BEJ404zbMath1267.60054arXiv1102.4055OpenAlexW3099548334MaRDI QIDQ1952435

Irmina Czarna, Ronnie Loeffen, Zbigniew Palmowski

Publication date: 30 May 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.4055

zbMATH Keywords

risk processruin probabilityLévy processParisian ruin

Mathematics Subject Classification ID

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Cites Work

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• An insurance risk model with Parisian implementation delays
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Introductory lectures on fluctuations of Lévy processes with applications.
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• Brownian Excursions and Parisian Barrier Options

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