2021
DOI: 10.48550/arxiv.2111.02695
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Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes

Abstract: We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative Lévy process. The distinctive feature of this extension is that the distribution of the random implementation delay windows' lengths can depend on the deficit at the epochs when the risk reserve process turns negative, starting a new negative excursion. This includes the possibility of an immediate ruin when the deficit hits a certain subset. In this g… Show more

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References 23 publications
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