A temporal approach to the Parisian risk model
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Cites work
- American Parisian options
- An insurance risk model with Parisian implementation delays
- Brownian Excursions and Parisian Barrier Options
- Double-barrier Parisian options
- Exit identities for Lévy processes observed at Poisson arrival times
- Fluctuations of Lévy processes with applications. Introductory lectures
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- Integral transforms and their applications
- Occupation times of spectrally negative Lévy processes with applications
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Parisian option pricing: a recursive solution for the density of the Parisian stopping time
- Parisian ruin for a refracted Lévy process
- Parisian ruin probability for spectrally negative Lévy processes
- Perturbed Brownian motion and its application to Parisian option pricing
- Pricing corporate debt with finite maturity and chapter 11 proceedings
- Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Ruin probability with Parisian delay for a spectrally negative Lévy risk process
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
- The joint Laplace transforms for diffusion occupation times
- The theory of scale functions for spectrally negative Lévy processes
Cited in
(10)- A note on Parisian ruin under a hybrid observation scheme
- Poissonian potential measures for Lévy risk models
- Discrete-time risk models with surplus-dependent premium corrections
- On the analysis of deep drawdowns for the Lévy insurance risk model
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- Ruin probabilities for risk process in a regime-switching environment
- A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
- A refracted Lévy process with delayed dividend pullbacks
- Poissonian occupation times of refracted Lévy processes with applications
- Last exit time until first exit time for spectrally negative Lévy processes
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