On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps

DOI10.1016/J.INSMATHECO.2015.10.001zbMath1348.91189OpenAlexW2142777551MaRDI QIDQ896775

Jeff T. Y. Wong, Eric C. K. Cheung

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/229476

zbMATH Keywords

dual risk modelexcursionSparre Andersen modelLagrange's expansion theoremoccupation time in redParisian ruin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (10)

Parisian ruin for a refracted Lévy process ⋮ Dividend optimisation: a behaviouristic approach ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ A temporal approach to the Parisian risk model ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Poissonian potential measures for Lévy risk models

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