Discounted penalty function at Parisian ruin for Lévy insurance risk process

In the setting of a Lévy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold r. First, we give the joint Laplace transform of ruin-time and ruin-position (possibly kille...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2018-11, Vol.83, p.190-197
Hauptverfasser:	Loeffen, R., Palmowski, Z., Surya, B.A.
Format:	Artikel
Sprache:	eng
Schlagworte:	First-passage time Identity Insurance Laplace transforms Lévy process Mathematical analysis Mathematical functions Parisian ruin Penalty function Resolvent Risk process Ruin
Online-Zugang:	Volltext
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