On occupation times in the red of Lévy risk models
From MaRDI portal
Publication:784389
DOI10.1016/J.INSMATHECO.2020.02.011zbMATH Open1445.91053arXiv1903.03721OpenAlexW3008072964MaRDI QIDQ784389FDOQ784389
Authors: David Landriault, Bin Li, Mohamed Amine Lkabous 
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1903.03721
Recommendations
- On the time spent in the red by a refracted Lévy risk process
- Occupation times of spectrally negative Lévy processes with applications
- Occupation times of refracted Lévy processes
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Occupation times in the MAP risk model
Cites Work
- Loss models. From data to decisions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Fluctuations of Lévy processes with applications. Introductory lectures
- Parisian ruin probability for spectrally negative Lévy processes
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
- An insurance risk model with Parisian implementation delays
- Occupation times of spectrally negative Lévy processes with applications
- How long is the surplus below zero?
- Exit identities for Lévy processes observed at Poisson arrival times
- Step options.
- Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
- Occupation times of refracted Lévy processes
- On the time spent in the red by a refracted Lévy risk process
- Refracted Lévy processes
- The theory of scale functions for spectrally negative Lévy processes
- Some formulae for a new type of path-dependent option
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- On the distribution of cumulative Parisian ruin
- Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
- On future drawdowns of Lévy processes
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- Optimality of refraction strategies for spectrally negative Lévy processes
- Two-sided discounted potential measures for spectrally negative Lévy processes
- Approximation with generalized hyperexponential distributions: Weak convergence results
- On a generalization of the arc-sine law
- Fluctuations of Omega-killed spectrally negative Lévy processes
- Optimality of multi-refraction control strategies in the dual model
- On weighted occupation times for refracted spectrally negative Lévy processes
- State-dependent fees for variable annuity guarantees
Cited In (17)
- Sojourn times of Gaussian processes with trend
- Occupation times in the MAP risk model
- Bridging the first and last passage times for Lévy models
- Discounted probability of exponential Parisian ruin: diffusion approximation
- Sojourns of stationary Gaussian processes over a random interval
- On the area in the red of Lévy risk processes and related quantities
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- The Parisian and ultimate drawdowns of Lévy insurance models
- Occupation times of spectrally negative Lévy processes with applications
- Some expressions of a generalized version of the expected time in the red and the expected area in red
- Poissonian occupation times of refracted Lévy processes with applications
- On occupation times for a risk process with reserve-dependent premium
- Occupation times of alternating renewal processes with Lévy applications
- A refracted Lévy process with delayed dividend pullbacks
- On the time spent in the red by a refracted Lévy risk process
- How long does the surplus stay close to its historical high?
- Poissonian occupation times of spectrally negative Lévy processes with applications
This page was built for publication: On occupation times in the red of Lévy risk models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784389)
