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

Ronnie Loeffen, Irmina Czarna and Zbigniew Palmowski

Papers from arXiv.org

Abstract: 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.

Date: 2011-02, Revised 2013-03
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Citations: View citations in EconPapers (45)

Published in Bernoulli 2013, Vol. 19, No. 2, 599-609

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1102.4055

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