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arXiv · 1907.09993

A note on Parisian ruin under a hybrid observation scheme

Mohamed Amine Lkabous
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Abstract

In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. \cite{binetal2016}. 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 \cite{binetal2016} and we compute other fluctuation identities. All identities are given in terms of second-generation scale functions.

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Mohamed Amine Lkabous. 2019-07-23. A note on Parisian ruin under a hybrid observation scheme. https://arxiv.org/abs/1907.09993

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