Parisian ruin with Erlang delay and a lower bankruptcy barrier

DOI10.1007/S11009-019-09693-WzbMATH Open1437.91133OpenAlexW2914339054WikidataQ128521390 ScholiaQ128521390MaRDI QIDQ2176386FDOQ2176386

Authors: Esther Frostig, Adva Keren-Pinhasik 

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09693-w

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zbMATH Keywords

Laplace transformruin probabilityrisk processexit times

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Laplace transform (44A10) Risk models (general) (91B05)

Cites Work

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• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
• An insurance risk model with Parisian implementation delays
• Exit identities for Lévy processes observed at Poisson arrival times
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• The theory of scale functions for spectrally negative Lévy processes
• The time to ruin and the number of claims until ruin for phase-type claims
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• Discounted penalty function at Parisian ruin for Lévy insurance risk process
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes

Cited In (15)

• Parisian ruin probability with a lower ultimate bankrupt barrier
• An insurance risk model with Parisian implementation delays
• The Omega-model with two bankruptcy rates
• An excursion theoretic approach to Parisian ruin problem
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
• Draw-down Parisian ruin for spectrally negative Lévy processes
• A temporal approach to the Parisian risk model
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• A note on Parisian ruin under a hybrid observation scheme
• Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process
• Parisian ruin probability -- the De Vylder type approximation
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• On the distribution of cumulative Parisian ruin
• Poissonian occupation times of spectrally negative Lévy processes with applications

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