Work

Parisian ruin probability for spectrally negative Lévy processes

Year: 2013

Type: article

Abstract: In this note we give, for a spectrally negative Lévy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period $r$. The formula involves only the scale function of the spectrally negative Lévy process and the distribution of the process at time $r$.

Source: Bernoulli

DOI: 10.3150/11-bej404

Authors: Ronnie Loeffen, Irmina Czarna, Zbigniew Palmowski

Institutions: Weierstrass Institute for Applied Analysis and Stochastics, University of Wrocław

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

Funder: AXA Research Fund

OpenAlex ID: W2163741383