Parisian ruin for a refracted L\'evy process

Mohamed Amine Lkabous, Irmina Czarna and Jean-Fran\c{c}ois Renaud

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Abstract: In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard L\'evy insurance risk process. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.

Date: 2016-03, Revised 2017-03
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.09324

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