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An excursion theoretic approach to Parisian ruin problem

Author

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  • Li, Bo
  • Zhou, Xiaowen

Abstract

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin for Lévy risk processes in terms of integrals with respect to the corresponding excursion measure. We show that these new expressions reconcile with the previous results on the Parisian ruin problem.

Suggested Citation

  • Li, Bo & Zhou, Xiaowen, 2024. "An excursion theoretic approach to Parisian ruin problem," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 44-58.
    • Handle: RePEc:eee:insuma:v:118:y:2024:i:c:p:44-58
    DOI: 10.1016/j.insmatheco.2024.05.001
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    Cited by:

    1. Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.

    More about this item

    Keywords

    Parisian ruin; Risk process; Excursion theory; Spectrally negative Lévy process;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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