Draw-down Parisian ruin for spectrally negative L\'{e}vy process
Probability
2019-04-25 v2
Abstract
In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also obtain an expression of the potential measure for the process killed at the draw-down Parisian time. As applications, new results are obtained for spectrally negative L\'{e}vy risk process with dividend barrier and Parisian ruin.
Keywords
Cite
@article{arxiv.1904.03286,
title = {Draw-down Parisian ruin for spectrally negative L\'{e}vy process},
author = {Wenyuan Wang and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1904.03286},
year = {2019}
}