A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
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Publication:274168
DOI10.1016/J.SPL.2016.02.018zbMATH Open1337.91046OpenAlexW2294322125MaRDI QIDQ274168FDOQ274168
Authors: Irmina Czarna, Jean-François Renaud 
Publication date: 22 April 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://www.archipel.uqam.ca/8418/1/Renaud-2016c-preprint.pdf
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Cites Work
- Fluctuations of Lévy processes with applications. Introductory lectures
- On extreme ruinous behaviour of Lévy insurance risk processes
- Parisian ruin probability for spectrally negative Lévy processes
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- Gerber-Shiu risk theory
- Brownian Excursions and Parisian Barrier Options
- Parisian ruin probability with a lower ultimate bankrupt barrier
- An insurance risk model with Parisian implementation delays
- Occupation times of spectrally negative Lévy processes with applications
Cited In (16)
- Parisian ruin probability with a lower ultimate bankrupt barrier
- On the dual risk model with Parisian implementation delays under a mixed dividend strategy
- On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments
- The Parisian and ultimate drawdowns of Lévy insurance models
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- Parisian quasi-stationary distributions for asymmetric Lévy processes
- Draw-down Parisian ruin for spectrally negative Lévy processes
- A temporal approach to the Parisian risk model
- 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 for two-dimensional Brownian risk model
- On the central management of risk networks
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Risk modelling on liquidations with Lévy processes
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
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