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Draw-down Parisian ruin for spectrally negative L\'{e}vy process
- Publication Year :
- 2019
-
Abstract
- In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also obtain an expression of the potential measure for the process killed at the draw-down Parisian time. As applications, new results are obtained for spectrally negative L\'{e}vy risk process with dividend barrier and Parisian ruin.
- Subjects :
- Mathematics - Probability
60G51 (Primary), 60E10, 60J35 (Secondary)
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1904.03286
- Document Type :
- Working Paper