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

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Publication:6382168


DOI10.1016/j.insmatheco.2023.02.001zbMath1519.91219arXiv2111.02695MaRDI QIDQ6382168

Duy P. Nguyen, Konstantin A. Borovkov

Publication date: 4 November 2021



Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G40: Stopping times; optimal stopping problems; gambling theory

44A10: Laplace transform

91G05: Actuarial mathematics





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