An insurance risk model with Parisian implementation delays
From MaRDI portal
Publication:479172
DOI10.1007/s11009-012-9317-4zbMath1319.60098MaRDI QIDQ479172
Jean-François Renaud, David Landriault, Xiao-Wen Zhou
Publication date: 5 December 2014
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://www.archipel.uqam.ca/8254/1/Renaud-2013a-preprint.pdf
scale function; Parisian ruin; mixed Erlang distribution; compound Poisson risk model; insurance risk theory; Lévy risk processes; stochastic implementation delays
60G51: Processes with independent increments; Lévy processes
Related Items
Parisian types of ruin probabilities for a class of dependent risk-reserve processes, Lévy insurance risk process with Poissonian taxation, Parisian ruin probability with a lower ultimate bankrupt barrier, Discrete time ruin probability with Parisian delay, On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications, Asymptotic analysis and optimization of some insurance models, A temporal approach to the Parisian risk model, Draw-down Parisian ruin for spectrally negative Lévy processes, Ruin probabilities for risk process in a regime-switching environment, Parisian ruin probability - the De Vylder type approximation, Discounted probability of exponential parisian ruin: Diffusion approximation, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, The Omega-model with two bankruptcy rates, A unified approach to ruin probabilities with delays for spectrally negative Lévy processes, On the time spent in the red by a refracted L\'evy risk process, Poissonian occupation times of spectrally negative Lévy processes with applications, Finite-time ruin probabilities using bivariate Laguerre series, On fluctuation-theoretic decompositions via Lindley-type recursions, Ruin probabilities as functions of the roots of a polynomial, Approximating the classical risk process by stable Lévy motion, Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims, On the area in the red of Lévy risk processes and related quantities, A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes, Omega diffusion risk model with surplus-dependent tax and capital injections, The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model, Occupation times of refracted Lévy processes, Occupation times of spectrally negative Lévy processes with applications, Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations, On occupation times in the red of Lévy risk models, Liquidation risk in insurance under contemporary regulatory frameworks, On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps, The dual risk model with dividends taken at arrival, Discounted penalty function at Parisian ruin for Lévy insurance risk process, On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments, On the distribution of cumulative Parisian ruin, Parisian ruin in the dual model with applications to the \(G/M/1\) queue, Parisian ruin probability for Markov additive risk processes, A threshold-based risk process with a waiting period to pay dividends, A note on Parisian ruin under a hybrid observation scheme, On the dual risk model with Parisian implementation delays in dividend payments, Poissonian potential measures for Lévy risk models, Parisian ruin probability for spectrally negative Lévy processes, Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process, On the distribution of classic and some exotic ruin times, Discrete-time risk models with surplus-dependent premium corrections, Optimal dividend strategy under Parisian ruin with affine penalty, Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process, Parisian ruin with Erlang delay and a lower bankruptcy barrier, Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital, Risk modelling on liquidations with Lévy processes, Dividend problem with Parisian delay for a spectrally negative Lévy risk process, Parisian ruin with a threshold dividend strategy under the dual Lévy risk model, Minimizing the probability of lifetime exponential Parisian ruin, Parisian ruin for a refracted Lévy process, Parisian quasi-stationary distributions for asymmetric Lévy processes, Sensitivity analysis of some applied probability models, Dividend optimisation: a behaviouristic approach, The Parisian and ultimate drawdowns of Lévy insurance models, Parisian ruin with random deficit-dependent delays 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, Parisian ruin of self-similar Gaussian risk processes
Cites Work
- Unnamed Item
- Unnamed Item
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- The Erlangization method for Markovian fluid flows
- On ruin for the Erlang \((n)\) risk process
- On the discounted penalty function in the renewal risk model with general interclaim times
- Special, conjugate and complete scale functions for spectrally negative Lévy processes
- Parisian ruin probability for spectrally negative Lévy processes
- Introductory lectures on fluctuations of Lévy processes with applications.
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- On a Classical Risk Model with a Constant Dividend Barrier
- Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
- Brownian Excursions and Parisian Barrier Options
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- On the Class of Erlang Mixtures with Risk Theoretic Applications
- Randomization and the American Put
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- On the Time Value of Ruin