An excursion theoretic approach to Parisian ruin problem

Bo Li and Xiaowen Zhou

Insurance: Mathematics and Economics, 2024, vol. 118, issue C, 44-58

Abstract: Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin for Lévy risk processes in terms of integrals with respect to the corresponding excursion measure. We show that these new expressions reconcile with the previous results on the Parisian ruin problem.

Keywords: Parisian ruin; Risk process; Excursion theory; Spectrally negative Lévy process (search for similar items in EconPapers)
JEL-codes: C02 G22 G33 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:118:y:2024:i:c:p:44-58

DOI: 10.1016/j.insmatheco.2024.05.001

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