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

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

Cites Work

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On the time to ruin for Erlang(2) risk processes.
The Time Value of Ruin in a Sparre Andersen Model
Exponential Behavior in the Presence of Dependence in Risk Theory
Parisian ruin probability for spectrally negative Lévy processes
Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
Brownian Excursions and Parisian Barrier Options
Parisian ruin probability with a lower ultimate bankrupt barrier
An insurance risk model with Parisian implementation delays
On the Time Value of Ruin
On ruin for the Erlang \((n)\) risk process
On the discounted penalty function in the renewal risk model with general interclaim times
Optimal dividends in the dual model
How long is the surplus below zero?
Exit identities for Lévy processes observed at Poisson arrival times
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Randomized onservation periods for the compound Poisson risk model: dividends
FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
The Density of the Time to Ruin in the Classical Poisson Risk Model
The optimal dividend barrier in the gamma-omega model
When does the surplus reach a given target?
On the dual risk model with tax payments
A unifying approach to the analysis of business with random gains
On the expectation of total discounted operating costs up to default and its applications
Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
A link between wave governed random motions and ruin processes
Finite time ruin problems for the Erlang\((2)\) risk model
On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
The Joint Laplace Transforms for Diffusion Occupation Times
On the Density and Moments of the Time of Ruin with Exponential Claims
On the time value of absolute ruin with debit interest
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
Martingales and insurance risk
The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
The Omega model: from bankruptcy to occupation times in the red
Brownian excursions and Parisian barrier options: a note
Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

Cited In (12)

On the Parisian ruin of the dual Lévy risk model
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
A temporal approach to the Parisian risk model
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
Dividend optimisation: a behaviouristic approach
Parisian ruin for a refracted Lévy process
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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