Draw-down Parisian ruin for spectrally negative Lévy processes
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Abstract: In this paper we study the draw-down related Parisian ruin problem for spectrally negative L'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also obtain an expression of the potential measure for the process killed at the draw-down Parisian time. As applications, new results are obtained for spectrally negative L'{e}vy risk process with dividend barrier and Parisian ruin.
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Cites work
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Cited in
(17)- Two-side exit problems for taxed Lévy risk process involving the general draw-down time
- Parisian ruin probability for spectrally negative Lévy processes
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
- Discrete-time risk models with surplus-dependent premium corrections
- General draw-down times for refracted spectrally negative Lévy processes
- 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
- A drawdown reflected spectrally negative Lévy process
- Risk modelling on liquidations with Lévy processes
- The Parisian and ultimate drawdowns of Lévy insurance models
- Exit problems for general draw-down times of spectrally negative Lévy processes
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- On the dual risk model with Parisian implementation delays under a mixed dividend strategy
- An excursion theoretic approach to Parisian ruin problem
- On the moments of dividends and capital injections under a variant type of Parisian ruin
- The ultimate drawdown insurance and its state-dependent premium
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