Parisian ruin probability for spectrally negative Lévy processes

Details Parisian ruin probability for spectrally negative Lévy processes Parisian ruin probability for spectrally negative Lévy processes

2011-02-20

arxiv.org/abs/1102.4055v1

Mathematics

Probability

Scientific paper

In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero which length exceeds a certain fixed period $r$. The formula involves only the scale function of the spectrally negative L\'evy process and the distribution of the process at time $r$.

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