On occupation times in the red of Lévy risk models
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Publication:784389
DOI10.1016/j.insmatheco.2020.02.011zbMath1445.91053arXiv1903.03721OpenAlexW3008072964MaRDI QIDQ784389
Bin Li, David Landriault, Mohamed Amine Lkabous
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.03721
Related Items (8)
Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ A refracted Lévy process with delayed dividend pullbacks ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Bridging the first and last passage times for Lévy models ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ Sojourn times of Gaussian processes with trend ⋮ Unnamed Item ⋮ Poissonian occupation times of spectrally negative Lévy processes with applications
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