Poissonian occupation times of spectrally negative L\'evy processes with applications

Mohamed Amine Lkabous

Papers from arXiv.org

Abstract: In this paper, we introduce the concept of \emph{Poissonian occupation times} below level $0$ of spectrally negative L\'evy processes. In this case, occupation time is accumulated only when the process is observed to be negative at arrival epochs of an independent Poisson process. Our results extend some well known continuously observed quantities involving occupation times of spectrally negative L\'evy processes. As an application, we establish a link between Poissonian occupation times and insurance risk models with Parisian implementation delays.

Date: 2019-07
New Economics Papers: this item is included in nep-ias and nep-rmg
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