Parisian quasi-stationary distributions for asymmetric Levy processes

被引：1

作者：

Czarna, Irmina ^{[1
]}

Palmowski, Zbigniew ^{[2
]}

机构：

[1] Univ Wroclaw, Math Inst, Wroclaw, Poland

[2] Wroclaw Univ Sci & Technol, Fac Pure & Appl Math, Ul Wyb Wyspianskiego 27, PL-50370 Wroclaw, Poland

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 127卷

关键词：

Quasi-stationary distribution; Levy process; Risk process; Ruin probability; Asymptotics; Parisian ruin; MARKOV-CHAINS; WAITING-TIME; DRIFT; RUIN;

D O I：

10.1016/j.spl.2017.03.011

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 recent years there has been some focus on quasi-stationary behavior of an one-dimensional Levy process X, where we ask for the law P(X-t is an element of dy vertical bar tau(-)(0) > t) for t -> infinity and tau(-)(0) = inf{t >= 0 : X-t < 0}. In this paper we address the same question for so-called Parisian ruin time tau(theta), that happens when process stays below zero longer than independent exponential random variable with intensity theta. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：75 / 84

页数：10

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