Parisian ruin with random deficit-dependent delays for spectrally negative L\'evy processes

DOI10.1016/J.INSMATHECO.2023.02.001arXiv2111.02695MaRDI QIDQ6382168

Publication date: 4 November 2021

Abstract: We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L'evy process. The distinctive feature of this extension is that the distribution of the random implementation delay windows' lengths can depend on the deficit at the epochs when the risk reserve process turns negative, starting a new negative excursion. This includes the possibility of an immediate ruin when the deficit hits a certain subset. In this general setting, we derive a closed-from expression for the Parisian ruin probability and the joint Laplace transform of the Parisian ruin time and the deficit at ruin.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Laplace transform (44A10) Actuarial mathematics (91G05)

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