Parisian ruin for a refracted Lévy process
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Publication:2397862
DOI10.1016/J.INSMATHECO.2017.03.005zbMATH Open1394.60046arXiv1603.09324OpenAlexW2964351656MaRDI QIDQ2397862FDOQ2397862
Authors: Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud 
Publication date: 24 May 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: In this paper, we investigate Parisian ruin for a L'evy surplus process with an adaptive premium rate, namely a refracted L'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard L'evy insurance risk process. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.
Full work available at URL: https://arxiv.org/abs/1603.09324
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Cited In (22)
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- An insurance risk model with Parisian implementation delays
- An excursion theoretic approach to Parisian ruin problem
- General draw-down times for refracted spectrally negative Lévy processes
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