Parisian quasi-stationary distributions for asymmetric Lévy processes
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DOI: 10.1016/j.spl.2017.03.011
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References listed on IDEAS
- Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, October.
- Dassios, Angelos & Wu, Shanle, 2008. "Ruin probabilities of the Parisian type for small claims," LSE Research Online Documents on Economics 32037, London School of Economics and Political Science, LSE Library.
- Angelos Dassios & Shanle Wu, 2010. "Perturbed Brownian motion and its application to Parisian option pricing," Finance and Stochastics, Springer, vol. 14(3), pages 473-494, September.
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Keywords
Quasi-stationary distribution; Lévy process; Risk process; Ruin probability; Asymptotics; Parisian ruin;All these keywords.
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