2019
DOI: 10.1016/j.spl.2018.09.013
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A note on Parisian ruin under a hybrid observation scheme

Abstract: In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. [9]. Under this model, the process is observed at Poisson arrival times whenever the business is financially healthy and it is continuously observed when it goes below 0. The Parisian ruin is then declared when the process stays below zero for a consecutive period of time greater than a fixed delay. We improve the result originally obtained in [9] and we compute other fluctuation identities. A… Show more

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Cited by 5 publications
(1 citation statement)
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“…Li et al [16] and Lkabous [17] studied the concept of Parisian ruin under the "hybrid observation scheme" for SNLPs, where the surplus process is monitored discretely at arrival epochs of an independent Poisson process (that can be interpreted as the observation times of the regulatory body), but is continuously observed once the process value drops below zero.…”
Section: Introduction and Main Resultsmentioning
confidence: 99%
“…Li et al [16] and Lkabous [17] studied the concept of Parisian ruin under the "hybrid observation scheme" for SNLPs, where the surplus process is monitored discretely at arrival epochs of an independent Poisson process (that can be interpreted as the observation times of the regulatory body), but is continuously observed once the process value drops below zero.…”
Section: Introduction and Main Resultsmentioning
confidence: 99%