An excursion theoretic approach to Parisian ruin problem-Reference-Cited by-同舟云学术

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An excursion theoretic approach to Parisian ruin problem

Published:2024-09 Issue: Volume:118 Page:44-58
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Li Bo,Zhou Xiaowen

Funder

NSERC

NSFC

Publisher

Elsevier BV

Reference29 articles.

1. Exit identities for Lévy processes observed at Poisson arrival times;Albrecher;Bernoulli,2016

2. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options;Avram;The Annals of Applied Probability,2004

3. Spectrally negative Lévy processes with Parisian reflection below and classical reflection above;Avram;Stochastic Processes and Their Applications,2018

4. Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes;Baurdoux;Journal of Applied Probability,2016

5. Lévy Processes;Bertoin,1996

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