Parisian ruin for a refracted Lévy process
Mohamed Amine Lkabous,
Irmina Czarna and
Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 153-163
In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard Lévy insurance risk process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.
Keywords: Parisian ruin; Adaptive premium; Refracted Lévy process; Lévy risk models; Scale functions (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163
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