A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
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Publication:274168
DOI10.1016/j.spl.2016.02.018zbMath1337.91046OpenAlexW2294322125MaRDI QIDQ274168
Jean-François Renaud, Irmina Czarna
Publication date: 22 April 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://www.archipel.uqam.ca/8418/1/Renaud-2016c-preprint.pdf
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Related Items (10)
On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes ⋮ A note on Parisian ruin under a hybrid observation scheme ⋮ Risk modelling on liquidations with Lévy processes ⋮ On the central management of risk networks ⋮ Parisian ruin probability for two-dimensional Brownian risk model ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes
Cites Work
- Gerber-Shiu risk theory
- An insurance risk model with Parisian implementation delays
- Occupation times of spectrally negative Lévy processes with applications
- Parisian ruin probability for spectrally negative Lévy processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
- Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
- On extreme ruinous behaviour of Lévy insurance risk processes
- Brownian Excursions and Parisian Barrier Options
- Parisian ruin probability with a lower ultimate bankrupt barrier
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