The Parisian and ultimate drawdowns of Lévy insurance models
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Publication:2682983
The paper aims to extend the drawdown analysis to the Parisian and ultimate ruins under the Lévy insurance framework and investigate its link with the exotic ruin theory. After presenting initial findings on the generalized scale functions in Lévy context, the stopping times are properly defined; throughout the paper the Parisian drawdown and ultimate drawdown are described in relation to the generalized scale functions. Then, some application insights contribute to deepening the results achieved. Finally, the main mathematical proofs are collected in a special section, while further technical details are in the Appendix.
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Cites work
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- A stopped Brownian motion formula
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Cited in
(12)- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Stochastic modeling and fair valuation of drawdown insurance
- Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process
- On the analysis of deep drawdowns for the Lévy insurance risk model
- Analysis of a drawdown-based regime-switching Lévy insurance model
- A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
- Draw-down Parisian ruin for spectrally negative Lévy processes
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
- An excursion theoretic approach to Parisian ruin problem
- The ultimate drawdown insurance and its state-dependent premium
- Last passage times for generalized drawdown processes with applications
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