Parisian ruin probability for spectrally negative L\'{e}vy processes
Probability
2013-03-22 v2 Statistics Theory
Risk Management
Statistics Theory
Abstract
In this note we give, for a spectrally negative Levy 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 Levy process and the distribution of the process at time r.
Keywords
Cite
@article{arxiv.1102.4055,
title = {Parisian ruin probability for spectrally negative L\'{e}vy processes},
author = {Ronnie Loeffen and Irmina Czarna and Zbigniew Palmowski},
journal= {arXiv preprint arXiv:1102.4055},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.3150/11-BEJ404 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)