A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes

Autor:	Jean-François Renaud, Irmina Czarna
Rok vydání:	2016
Předmět:	Statistics and Probability 010104 statistics & probability Actuarial science Bankruptcy 010102 general mathematics Short paper 0101 mathematics Statistics Probability and Uncertainty Ruin theory 01 natural sciences Mathematics
Zdroj:	Statistics & Probability Letters. 113:54-61
ISSN:	0167-7152
Popis:	In this short paper, we investigate a definition of Parisian ruin introduced in Czarna (2016), namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover, we compute more general Parisian fluctuation identities.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0d9931993ea0f7e526daf8508adbb09b https://doi.org/10.1016/j.spl.2016.02.018 Zobrazit plný text záznamu Full Text from ScienceDirect