{"title":"An excursion theoretic approach to Parisian ruin problem","authors":"Bo Li , Xiaowen Zhou","doi":"10.1016/j.insmatheco.2024.05.001","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"118 ","pages":"Pages 44-58"},"PeriodicalIF":1.9000,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016766872400057X/pdfft?md5=f4c9846503bbc8a4f4de66090a3919de&pid=1-s2.0-S016766872400057X-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Insurance Mathematics & Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S016766872400057X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world.
Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
