Ruin probability with Parisian delay for a spectrally negative Lévy risk process - Mathematics > ProbabilityReportar como inadecuado




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Abstract: In this paper we analyze so-called Parisian ruin probability that happenswhen surplus process stays below zero longer than fixed amount of time$\zeta>0$. We focus on general spectrally negative L\-{e}vy insurance riskprocess. For this class of processes we identify expression for ruinprobability in terms of some other quantities that could be possibly calculatedexplicitly in many models. We find its Cram\-{e}r-type andconvolution-equivalent asymptotics when reserves tends to infinity. Finally, weanalyze few explicit examples.



Autor: Irmina Czarna, Zbigniew Palmowski

Fuente: https://arxiv.org/







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