Parisian ruin for a refracted Lévy process
| Autor: | Jean-François Renaud, Mohamed Amine Lkabous, Irmina Czarna |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Generalization 010102 general mathematics Structure (category theory) Process (computing) 01 natural sciences Lévy process 010104 statistics & probability Risk process 0101 mathematics Statistics Probability and Uncertainty Mathematical economics Mathematics |
| Zdroj: | Insurance: Mathematics and Economics. 74:153-163 |
| ISSN: | 0167-6687 |
| Popis: | In this paper, we investigate Parisian ruin for a Levy surplus process with an adaptive premium rate, namely a refracted Levy process. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard Levy insurance risk process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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