Article ID Journal Published Year Pages File Type
1151261 Statistics & Probability Letters 2016 8 Pages PDF
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
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