Parisian ruin probability for spectrally negative Levy processes

被引：80

作者：

Loeffen, Ronnie ^{[1
]}

Czarna, Irmina ^{[2
]}

Palmowski, Zbigniew ^{[2
]}

机构：

[1] Weierstrass Inst, D-10117 Berlin, Germany

[2] Univ Wroclaw, Dept Math, PL-50384 Wroclaw, Poland

来源：

BERNOULLI | 2013年 / 19卷 / 02期

关键词：

Levy process; Parisian ruin; risk process; ruin probability;

D O I：

10.3150/11-BEJ404

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negative Levy process and the distribution of the process at time r.

引用

页码：599 / 609

页数：11

共 11 条

[1]

[Anonymous], 2006, INTRO LECT FLUCTUATI

[2]

Bertoin J., 1996, Cambridge Tracts in Mathematics, V121

[3] Brownian excursions and Parisian barrier options [J].