Parisian ruin for a refracted Lévy process

DOI10.1016/j.insmatheco.2017.03.005zbMath1394.60046arXiv1603.09324OpenAlexW2964351656MaRDI QIDQ2397862

Irmina Czarna, Mohamed Amine Lkabous, Jean-François Renaud

Publication date: 24 May 2017

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

Full work available at URL: https://arxiv.org/abs/1603.09324

zbMATH Keywords

Parisian ruinscale functionsrefracted Lévy processLévy risk modelsadaptive premium

Mathematics Subject Classification ID

Related Items (14)

General draw-down times for refracted spectrally negative Lévy processes ⋮ Sensitivity analysis of some applied probability models ⋮ Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ 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 ⋮ Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ A note on Parisian ruin under a hybrid observation scheme ⋮ On the analysis of deep drawdowns for the Lévy insurance risk model ⋮ A unified approach to ruin probabilities with delays for spectrally negative Lévy processes ⋮ A temporal approach to the Parisian risk model ⋮ Poissonian potential measures for Lévy risk models ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes

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