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Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

Content Provider	Scilit
Author	Baurdoux, Erik J. Pardo, Juan Carlos Pérez, José Luis Renaud, Jean-François
Copyright Year	2016
Description	Inspired by the works of Landriault et al. (2011), (2014), we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock rings before the surplus becomes positive again then the insurance company is ruined. Our methodology uses excursion theory for spectrally negative Lévy processes and relies on the theory of so-called scale functions. In particular, we extend the recent results of Landriault et al. (2011), (2014).
Related Links	https://core.ac.uk/download/pdf/35437792.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/06A7973F405C81D80F85ECB68B86212F/S0021900216000218a.pdf/div-class-title-gerber-shiu-distribution-at-parisian-ruin-for-levy-insurance-risk-processes-div.pdf
Ending Page	584
Page Count	13
Starting Page	572
ISSN	00219002
e-ISSN	14756072
DOI	10.1017/jpr.2016.21
Journal	Journal of applied probability
Issue Number	2
Volume Number	53
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2016-06-01
Access Restriction	Open
Subject Keyword	Journal of applied probability Scale Function Parisian Ruin Lévy Process Excursion Theory Fluctuation Theory Gerber–shiu Function Laplace Transform Primary 60g51 Secondary 60j99
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

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