A temporal approach to the Parisian risk model
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Publication:4684940
DOI10.1017/JPR.2018.18zbMath1396.60045OpenAlexW2795251737MaRDI QIDQ4684940
Gordon E. Willmot, Jeff T. Y. Wong, Bin Li
Publication date: 26 September 2018
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2018.18
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (8)
Ruin probabilities for risk process in a regime-switching environment ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes ⋮ A note on Parisian ruin under a hybrid observation scheme ⋮ On the analysis of deep drawdowns for the Lévy insurance risk model ⋮ A unified approach to ruin probabilities with delays for spectrally negative Lévy processes ⋮ Poissonian potential measures for Lévy risk models ⋮ Discrete-time risk models with surplus-dependent premium corrections
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