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Parisian ruin probability for spectrally negative L\'{e}vy processes

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negative Levy process and the distribution of the process at time r.
Year of publication:
2011-02
Authors: Loeffen, Ronnie ; Czarna, Irmina ; Palmowski, Zbigniew
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
Notes:
Published in Bernoulli 2013, Vol. 19, No. 2, 599-609
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Persistent link: https://www.econbiz.de/10008854260
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