Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151261 | Statistics & Probability Letters | 2016 | 8 Pages |
Abstract
In this short paper, we investigate a definition of Parisian ruin introduced in Czarna (2016), namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover, we compute more general Parisian fluctuation identities.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Irmina Czarna, Jean-François Renaud,