Poissonian potential measures for Lévy risk models

David Landriault, Bin Li, Jeff T.Y. Wong and Di Xu

Insurance: Mathematics and Economics, 2018, vol. 82, issue C, 152-166

Abstract: This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process. Explicit representations of these so-called Poissonian potential measures are established in terms of newly defined Poissonian scale functions. Moreover, Poissonian exit measures are explicitly solved by finding a direct relation with Poissonian potential measures. Our results generalize Albrecher et al. (2016) in which Poissonian exit identities are solved. As an application of Poissonian potential measures, we extend the Gerber–Shiu analysis in Baurdoux et al. (2016) to a (more general) Parisian risk model subject to Poissonian observations.

Keywords: Poissonian observations; Potential measures; Exit measures; Spectrally negative Lévy process; Parisian ruin problems (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166

DOI: 10.1016/j.insmatheco.2018.07.004

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