Article ID Journal Published Year Pages File Type
7548067 Statistics & Probability Letters 2018 9 Pages PDF
Abstract
In this note, we introduce a spectrally positive Lévy risk process with Parisian implementation delays in dividend payments, which means that the dividends can only be paid when the surplus of the Lévy risk process has stayed continuously above the barrier b for a certain time r(>0). Using the scale functions and the distribution of the risk process at time r, the Laplace transform of the ruin time is derived.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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