A temporal approach to the Parisian risk model
| Autor: | Jeff T.Y. Wong, Bin Li, Gordon E. Willmot |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Statistics and Probability
050208 finance General Mathematics 05 social sciences Variation (game tree) 01 natural sciences Lévy process 010104 statistics & probability Risk model Bounded function Scheme (mathematics) 0502 economics and business Applied mathematics 0101 mathematics Statistics Probability and Uncertainty Mathematics |
| Zdroj: | Journal of Applied Probability. 55:302-317 |
| ISSN: | 1475-6072 0021-9002 |
| DOI: | 10.1017/jpr.2018.18 |
| Popis: | 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). |
| Databáze: | OpenAIRE |
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