Draw-down Parisian ruin for spectrally negative Lévy processes

DOI10.1017/apr.2020.36zbMath1473.60079arXiv1904.03286OpenAlexW3109336886MaRDI QIDQ5005045

Wenyuan Wang, Xiao-Wen Zhou

Publication date: 4 August 2021

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.03286

zbMATH Keywords

risk processexcursion theoryreflected processpotential measureParisian ruinspectrally negative Lévy processdraw-down timedraw-down Parisian ruin

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Transition functions, generators and resolvents (60J35)

Related Items (7)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ 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 ⋮ Risk modelling on liquidations with Lévy processes ⋮ Discrete-time risk models with surplus-dependent premium corrections

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