Parisian ruin probability for spectrally negative Levy processes

被引：73
|
作者：
Loeffen, Ronnie [1 ]
Czarna, Irmina [2 ]
Palmowski, Zbigniew [2 ]
机构：
[1] Weierstrass Inst, D-10117 Berlin, Germany
[2] Univ Wroclaw, Dept Math, PL-50384 Wroclaw, Poland
来源：
BERNOULLI | 2013年 / 19卷 / 02期
关键词：
Levy process; Parisian ruin; risk process; ruin probability;
D O I：
10.3150/11-BEJ404
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页码：599 / 609
页数：11
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