Ruin probability with Parisian delay for a spectrally negative Lévy risk process

Details Ruin probability with Parisian delay for a spectrally negative Lévy risk process Ruin probability with Parisian delay for a spectrally negative Lévy risk process

2010-03-22

arxiv.org/abs/1003.4299v2

Mathematics

Probability

Scientific paper

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

Affiliated with

Also associated with

No associations

Rating

Ruin probability with Parisian delay for a spectrally negative Lévy risk process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Ruin probability with Parisian delay for a spectrally negative Lévy risk process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Ruin probability with Parisian delay for a spectrally negative Lévy risk process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-210892