Parisian ruin probability with a lower ultimate bankrupt barrier
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Publication:4576971
DOI10.1080/03461238.2014.926288zbMATH Open1401.91124OpenAlexW2003183011MaRDI QIDQ4576971FDOQ4576971
Authors: Irmina Czarna 
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2014.926288
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Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Optimal stochastic control (93E20)
Cites Work
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- The theory of scale functions for spectrally negative Lévy processes
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- Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
Cited In (27)
- Parisian ruin of self-similar Gaussian risk processes
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
- The Omega-model with two bankruptcy rates
- Parisian ruin over a finite-time horizon
- A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- On the Parisian ruin probability in a refracted Lévy process
- Title not available (Why is that?)
- Draw-down Parisian ruin for spectrally negative Lévy processes
- Parisian ruin for spectrally negative Lévy processes under a hybrid observation scheme
- Parisian ruin probability for Markov additive risk processes
- Ruin probabilities for two collaborating insurance companies
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Liquidation risk for exponential spectrally negative Lévy processes
- Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
- Liquidation risk in insurance under contemporary regulatory frameworks
- Parisian ruin probability -- the De Vylder type approximation
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- On the distribution of cumulative Parisian ruin
- Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
- Risk modelling on liquidations with Lévy processes
- On the dual risk model with Parisian implementation delays in dividend payments
- Discrete-time risk models with surplus-dependent premium corrections
- Parisian ruin with Erlang delay and a lower bankruptcy barrier
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