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arXiv · 1102.4055

Parisian ruin probability for spectrally negative Lévy processes

Ronnie Loeffen·Irmina Czarna·Zbigniew Palmowski
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Abstract

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negative Levy process and the distribution of the process at time r.

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BibTeXRIS

Ronnie Loeffen, Irmina Czarna, Zbigniew Palmowski. 2013-03-21. Parisian ruin probability for spectrally negative Lévy processes. https://doi.org/10.3150/11-bej404

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