相关论文: A note on Parisian ruin under a hybrid observation…

Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an…

We derive exact tail asymptotics of the Parisian ruin probability for Gaussian risk models driven by locally self-similar Gaussian processes with a power-type deterministic trend. The considered setting includes non-stationary Gaussian…

We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, {\gamma}-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical…

We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…

Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…

It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, however, needs careful adaptions to imitate the real-world…

Given a Gaussian risk process $R(t)=u+c(t)-X(t),t\ge 0$, the cumulative Parisian ruin probability on a finite time interval $[0,T]$ with respect to $L \geq 0$ is defined as the probability that the sojourn time that the risk process $R$…

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…

We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L\'evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L\'evy…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ In this contribution we derive precise approximations for cumulative Parisian ruin…

Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process \begin{align}\label{Rudef}…

Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…

In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…

We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events,…

In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…

This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlying process, our model allows each process to operate…

We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…

Generalizing earlier works of Delbaen & Haezendonck [5] as well as of [18] and [16] for given compound mixed renewal process S under a probability measure P, we characterize all those probability measures Q on the domain of P such that Q…

We introduce the hybrid risk process, constructed via a time-change transformation applied to the solution of a hybrid stochastic differential equation. The framework covers several modern ruin settings, incorporating features like…