A note on Parisian ruin under a hybrid observation scheme
Probability
2019-07-24 v1 Risk Management
Abstract
In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. \cite{binetal2016}. Under this model, the process is observed at Poisson arrival times whenever the business is financially healthy and it is continuously observed when it goes below . The Parisian ruin is then declared when the process stays below zero for a consecutive period of time greater than a fixed delay. We improve the result originally obtained in \cite{binetal2016} and we compute other fluctuation identities. All identities are given in terms of second-generation scale functions.
Keywords
Cite
@article{arxiv.1907.09993,
title = {A note on Parisian ruin under a hybrid observation scheme},
author = {Mohamed Amine Lkabous},
journal= {arXiv preprint arXiv:1907.09993},
year = {2019}
}