Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
نویسنده
چکیده
In this paper we analyze the so-called Parisian ruin probability, which arises when the surplus process stays below 0 longer than a fixed amount of time ζ > 0. We focus on a general spectrally negative Lévy insurance risk process. For this class of processes, we derive an expression for the ruin probability in terms of quantities that can be calculated explicitly in many models. We find its Cramér-type and convolutionequivalent asymptotics when reserves tend to ∞. Finally, we analyze some explicit examples.
منابع مشابه
Parisian Ruin Probability for Spectrally Negative Lévy Processes
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