On occupation times in the red of Lévy risk models
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Publication:784389
Abstract: In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level ) up to an (independent) exponential horizon for spectrally negative L'{e}vy risk processes and refracted spectrally negative L'{e}vy risk processes. This result improves the existing literature in which only the Laplace transforms are known. Due to the close connection between occupation time and many other quantities, we provide a few applications of our results including future drawdown, inverse occupation time, Parisian ruin with exponential delay, and the last time at running maximum. By a further Laplace inversion to our results, we obtain the distribution of the occupation time up to a finite time horizon for refracted Brownian motion risk process and refracted Cram'{e}r-Lundberg risk model with exponential claims.
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Cited in
(17)- Sojourns of stationary Gaussian processes over a random interval
- Occupation times of alternating renewal processes with Lévy applications
- Sojourn times of Gaussian processes with trend
- Some expressions of a generalized version of the expected time in the red and the expected area in red
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- On the time spent in the red by a refracted Lévy risk process
- Occupation times of spectrally negative Lévy processes with applications
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