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Article: A temporal approach to the Parisian risk model

TitleA temporal approach to the Parisian risk model
Authors
KeywordsPoisson observation
spectrally negative Lévy process
Parisian ruin
insurance risk model
Issue Date2018
Citation
Journal of Applied Probability, 2018, v. 55, n. 1, p. 302-317 How to Cite?
AbstractCopyright © Applied Probability Trust 2018. In 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/10722/277688
ISSN
2020 Impact Factor: 1.042
2020 SCImago Journal Rankings: 0.668
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLi, Bin-
dc.contributor.authorWillmot, Gordon E.-
dc.contributor.authorWong, Jeff T.Y.-
dc.date.accessioned2019-09-27T08:29:42Z-
dc.date.available2019-09-27T08:29:42Z-
dc.date.issued2018-
dc.identifier.citationJournal of Applied Probability, 2018, v. 55, n. 1, p. 302-317-
dc.identifier.issn0021-9002-
dc.identifier.urihttp://hdl.handle.net/10722/277688-
dc.description.abstractCopyright © Applied Probability Trust 2018. In 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.relation.ispartofJournal of Applied Probability-
dc.subjectPoisson observation-
dc.subjectspectrally negative Lévy process-
dc.subjectParisian ruin-
dc.subjectinsurance risk model-
dc.titleA temporal approach to the Parisian risk model-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1017/jpr.2018.18-
dc.identifier.scopuseid_2-s2.0-85044618259-
dc.identifier.hkuros315047-
dc.identifier.volume55-
dc.identifier.issue1-
dc.identifier.spage302-
dc.identifier.epage317-
dc.identifier.isiWOS:000428631200018-
dc.identifier.issnl0021-9002-

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