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Article: A temporal approach to the Parisian risk model

TitleA temporal approach to the Parisian risk model
Authors
Bin, LGordon, EWWong, TYJ
Issue Date2020
PublisherCambridge University Press. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal of Applied Probability, , v. 55, p. 302-317 How to Cite?
AbstractIn this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a temporal approach as opposed to the spatial approximation approach in the literature. Our approach leads to a unified proof for the underlying processes with bounded or unbounded variation paths, and our result generalizes Loeffen et al. (2013).
Persistent Identifierhttp://hdl.handle.net/10722/287719

 

DC FieldValueLanguage
dc.contributor.authorBin, L-
dc.contributor.authorGordon, EW-
dc.contributor.authorWong, TYJ-
dc.date.accessioned2020-10-05T12:02:16Z-
dc.date.available2020-10-05T12:02:16Z-
dc.date.issued2020-
dc.identifier.citationJournal of Applied Probability, , v. 55, p. 302-317-
dc.identifier.urihttp://hdl.handle.net/10722/287719-
dc.description.abstractIn this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a temporal approach as opposed to the spatial approximation approach in the literature. Our approach leads to a unified proof for the underlying processes with bounded or unbounded variation paths, and our result generalizes Loeffen et al. (2013).-
dc.languageeng-
dc.publisherCambridge University Press. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html-
dc.relation.ispartofJournal of Applied Probability-
dc.rightsJournal of Applied Probability. Copyright © Cambridge University Press.-
dc.rightsThis article has been published in a revised form in [Journal] [http://doi.org/XXX]. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © copyright holder.-
dc.titleA temporal approach to the Parisian risk model-
dc.typeArticle-
dc.identifier.emailWong, TYJ: tywong88@hku.hk-
dc.identifier.authorityWong, TYJ=rp02605-
dc.identifier.hkuros315047-
dc.identifier.volume55-
dc.identifier.spage302-
dc.identifier.epage317-

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