A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes

Irmina Czarna and Jean-François Renaud

Statistics & Probability Letters, 2016, vol. 113, issue C, 54-61

Abstract: In this short paper, we investigate a definition of Parisian ruin introduced in Czarna (2016), namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover, we compute more general Parisian fluctuation identities.

Keywords: Ruin theory; Parisian ruin; Spectrally negative Lévy processes; Scale functions (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2016.02.018

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