Discrete time ruin probability with Parisian delay
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Publication:4577208
DOI10.1080/03461238.2016.1261734zbMath1402.91188arXiv1403.7761OpenAlexW2560579431MaRDI QIDQ4577208
Przemysław Świątek, Zbigniew Palmowski, Irmina Czarna
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.7761
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (6)
Parisian ruin for the dual risk process in discrete-time ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period ⋮ Discrete-time risk models with surplus-dependent premium corrections
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