Parisian ruin for a refracted Lévy process
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Publication:2397862
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.
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Cited in
(22)- On the analysis of deep drawdowns for the Lévy insurance risk model
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- An insurance risk model with Parisian implementation delays
- General draw-down times for refracted spectrally negative Lévy processes
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