An insurance risk model with Parisian implementation delays

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

zbMATH Keywords

scale function; Parisian ruin; mixed Erlang distribution; compound Poisson risk model; insurance risk theory; Lévy risk processes; stochastic implementation delays

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

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