Discounted probability of exponential Parisian ruin: diffusion approximation
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- Finite time Parisian ruin of an integrated Gaussian risk model
Cites work
- A class of approximations of ruin probabilities
- A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
- An insurance risk model with Parisian implementation delays
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Approximations for the probability of ruin within finite time
- Aspects of risk theory
- Diffusion approximations in collective risk theory
- Exit identities for Lévy processes observed at Poisson arrival times
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- On occupation times in the red of Lévy risk models
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Risk theory
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