| Autor: |
BIN LI, WILLMOT, GORDON E., WONG, JEFF T. Y. |
| Předmět: |
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| Zdroj: |
Journal of Applied Probability; Mar2018, Vol. 55 Issue 1, p302-317, 16p |
| Abstrakt: |
In this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a temporal approach as opposed to the spatial approximation approach in the literature. Our approach leads to a unified proof for the underlying processes with bounded or unbounded variation paths, and our result generalizes Loeffen et al. (2013). [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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