On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps

DOI10.1016/j.insmatheco.2015.10.001zbMath1348.91189OpenAlexW2142777551MaRDI QIDQ896775

Jeff T. Y. Wong, Eric C. K. Cheung

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/229476

zbMATH Keywords

dual risk modelexcursionSparre Andersen modelLagrange's expansion theoremoccupation time in redParisian ruin time

Mathematics Subject Classification ID

Related Items (10)

Parisian ruin for a refracted Lévy process ⋮ Dividend optimisation: a behaviouristic approach ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ A temporal approach to the Parisian risk model ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Poissonian potential measures for Lévy risk models

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