Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process

DOI10.1239/jap/1324046014zbMath1232.60036arXiv1003.4299OpenAlexW2962686767MaRDI QIDQ3108469

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.4299

zbMATH Keywords

asymptotics risk process ruin probability Lévy process Parisian ruin

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Markov processes (60J99)

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