An Excursion Theoretic Approach to Parisian Ruin Problem

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L´evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L´evy process. We show that these new expressions reconcile with the previous results on Parisian ruin problem

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Year of publication:	[2023]
Authors:	Zhou, Xiaowen ; Li, Bo
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4519650 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014346370