A note on Parisian ruin with an ultimate bankruptcy level for Levy insurance risk processes

被引：9

作者：

Czarna, Irmina ^{[1
]}

Renaud, Jean-Francois ^{[2
]}

机构：

[1] Univ Wroclaw, Dept Math, Pl Grunwaldzki 2-4, PL-50384 Wroclaw, Poland

[2] Univ Quebec Montreal UQAM, Dept Math, 201 Ave President Kennedy, Montreal, PQ H2X 3Y7, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 113卷

基金：

加拿大自然科学与工程研究理事会;

关键词：

Ruin theory; Parisian ruin; Spectrally negative Levy processes; Scale functions; OCCUPATION TIMES; PROBABILITY;

D O I：

10.1016/j.spl.2016.02.018

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 short paper, we investigate a definition of Parisian ruin introduced in Czarna (2016), namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover, we compute more general Parisian fluctuation identities. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：54 / 61

页数：8

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