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

DOI10.1016/J.INSMATHECO.2015.10.001zbMATH Open1348.91189OpenAlexW2142777551MaRDI QIDQ896775FDOQ896775

Authors 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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites Work

• scientific article; zbMATH DE number 1102528 (Why is no real title available?)
• scientific article; zbMATH DE number 3301915 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
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• An insurance risk model with Parisian implementation delays
• Brownian Excursions and Parisian Barrier Options
• Brownian excursions and Parisian barrier options: a note
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• Finite time ruin problems for the Erlang\((2)\) risk model
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• On the dual risk model with tax payments
• On the expectation of total discounted operating costs up to default and its applications
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• On the time to ruin for Erlang(2) risk processes.
• On the time value of absolute ruin with debit interest
• Optimal dividends in the dual model
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
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• Randomized onservation periods for the compound Poisson risk model: dividends
• Ruin probabilities
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Omega model: from bankruptcy to occupation times in the red
• The Time Value of Ruin in a Sparre Andersen Model
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
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• The joint Laplace transforms for diffusion occupation times
• The optimal dividend barrier in the gamma-omega model
• When does the surplus reach a given target?

Cited In (17)

• On the Parisian ruin of the dual Lévy risk model
• Parisian ruin for the dual risk process in discrete-time
• An insurance risk model with Parisian implementation delays
• On the dual risk model with Parisian implementation delays under a mixed dividend strategy
• An excursion theoretic approach to Parisian ruin problem
• A Fourier-cosine method for finite-time ruin probabilities
• Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
• A temporal approach to the Parisian risk model
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Discrete time ruin probability with Parisian delay
• Dividend optimisation: a behaviouristic approach
• Parisian ruin for a refracted Lévy process
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• On the dual risk model with Parisian implementation delays in dividend payments
• Poissonian potential measures for Lévy risk models
• A threshold-based risk process with a waiting period to pay dividends

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