Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076205 | Insurance: Mathematics and Economics | 2017 | 11 Pages |
Abstract
In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard Lévy insurance risk process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud,