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Parisian ruin probability for spectrally negative L\'{e}vy processes

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Cited by:

  1. Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao, 2021. "Optimal Dividends under Markov-Modulated Bankruptcy Level," Center for Mathematical Economics Working Papers 657, Center for Mathematical Economics, Bielefeld University.
  2. Brinker, Leonie Violetta & Eisenberg, Julia, 2021. "Dividend optimisation: A behaviouristic approach," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 202-224.
  3. Ran Xu & Wenyuan Wang & Jose Garrido, 2022. "Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1385-1409, September.
  4. Li, Shu & Zhou, Xiaowen, 2022. "The Parisian and ultimate drawdowns of Lévy insurance models," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 140-160.
  5. Giorgio Ferrari & Patrick Schuhmann & Shihao Zhu, 2021. "Optimal Dividends under Markov-Modulated Bankruptcy Level," Papers 2111.03724, arXiv.org, revised Jun 2022.
  6. Budhi Surya & Wenyuan Wang & Xianghua Zhao & Xiaowen Zhou, 2020. "Parisian excursion with capital injection for draw-down reflected Levy insurance risk process," Papers 2005.09214, arXiv.org.
  7. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
  8. Li, Xin & Liu, Haibo & Tang, Qihe & Zhu, Jinxia, 2020. "Liquidation risk in insurance under contemporary regulatory frameworks," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 36-49.
  9. David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
  10. Esther Frostig & Adva Keren-Pinhasik, 2020. "Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 101-134, March.
  11. Landriault, David & Li, Bin & Shi, Tianxiang & Xu, Di, 2019. "On the distribution of classic and some exotic ruin times," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 38-45.
  12. Mohamed Amine Lkabous, 2019. "A note on Parisian ruin under a hybrid observation scheme," Papers 1907.09993, arXiv.org.
  13. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
  14. Landriault, David & Li, Bin & Lkabous, Mohamed Amine & Wang, Zijia, 2023. "Bridging the first and last passage times for Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 308-334.
  15. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
  16. Lkabous, Mohamed Amine, 2019. "A note on Parisian ruin under a hybrid observation scheme," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 147-157.
  17. Lkabous, Mohamed Amine & Czarna, Irmina & Renaud, Jean-François, 2017. "Parisian ruin for a refracted Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 153-163.
  18. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2020. "On occupation times in the red of Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 17-26.
  19. Nguyen, Duy Phat & Borovkov, Konstantin, 2023. "Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 72-81.
  20. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
  21. Cheung, Eric C.K. & Zhu, Wei, 2023. "Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 84-101.
  22. Irmina Czarna & Adam Kaszubowski, 2020. "Optimality of Impulse Control Problem in Refracted Lévy Model with Parisian Ruin and Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 185(3), pages 982-1007, June.
  23. Mohamed Amine Lkabous, 2019. "Poissonian occupation times of spectrally negative L\'evy processes with applications," Papers 1907.09990, arXiv.org.
  24. Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Parisian Stopping Times under Markov Processes," Papers 2107.06605, arXiv.org.
  25. Yang, Chen & Sendova, Kristina P. & Li, Zhong, 2020. "Parisian ruin with a threshold dividend strategy under the dual Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 135-150.
  26. Krystecki, Konrad, 2022. "Parisian ruin probability for two-dimensional Brownian risk model," Statistics & Probability Letters, Elsevier, vol. 182(C).
  27. Gongqiu Zhang & Lingfei Li, 2023. "A general approach for Parisian stopping times under Markov processes," Finance and Stochastics, Springer, vol. 27(3), pages 769-829, July.
  28. Albrecher, Hansjörg & Ivanovs, Jevgenijs, 2017. "Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 643-656.
  29. Hansjörg Albrecher & Jevgenijs Ivanovs, 2013. "A Risk Model with an Observer in a Markov Environment," Risks, MDPI, vol. 1(3), pages 1-14, November.
  30. Peng, Xiaofan & Luo, Li, 2017. "Finite time Parisian ruin of an integrated Gaussian risk model," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 22-29.
  31. Jean-Franc{c}ois Renaud, 2013. "On the time spent in the red by a refracted L\'evy risk process," Papers 1306.4619, arXiv.org.
  32. Xiaoqing Liang & Virginia R. Young, 2020. "Minimizing the Probability of Lifetime Exponential Parisian Ruin," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 1036-1064, March.
  33. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
  34. Loeffen, R. & Palmowski, Z. & Surya, B.A., 2018. "Discounted penalty function at Parisian ruin for Lévy insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 190-197.
  35. David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
  36. Neofytos Rodosthenous & Hongzhong Zhang, 2017. "Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models," Papers 1706.03724, arXiv.org.
  37. Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
  38. Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
  39. Ferrari, Giorgio & Schuhmann, Patrick & Zhu, Shihao, 2022. "Optimal dividends under Markov-modulated bankruptcy level," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 146-172.
  40. Czarna, Irmina & Renaud, Jean-François, 2016. "A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 54-61.
  41. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
  42. Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di, 2018. "Poissonian potential measures for Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 152-166.
  43. Sendova, Kristina P. & Yang, Chen & Zhang, Ruixi, 2018. "Dividend barrier strategy: Proceed with caution," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 157-164.
  44. Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud, 2016. "Parisian ruin for a refracted L\'evy process," Papers 1603.09324, arXiv.org, revised Mar 2017.
  45. Landriault, David & Li, Bin & Li, Danping & Li, Dongchen, 2016. "A pair of optimal reinsurance–investment strategies in the two-sided exit framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 284-294.
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