Parisian ruin with random deficit-dependent delays for spectrally negative L\'evy processes

DOI10.1016/j.insmatheco.2023.02.001zbMath1519.91219arXiv2111.02695MaRDI QIDQ6382168

Duy P. Nguyen, Konstantin A. Borovkov

Publication date: 4 November 2021

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G40: Stopping times; optimal stopping problems; gambling theory

44A10: Laplace transform

91G05: Actuarial mathematics