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- Publisher Website: 10.1016/j.insmatheco.2018.07.004
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Article: Poissonian potential measures for Lévy risk models
Title | Poissonian potential measures for Lévy risk models |
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Authors | |
Keywords | Poissonian observations Potential measures Exit measures Spectrally negative Lévy process Parisian ruin problems |
Issue Date | 2018 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2018, v. 82, p. 152-166 How to Cite? |
Abstract | This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process. Explicit representations of these so-called Poissonian potential measures are established in terms of newly defined Poissonian scale functions. Moreover, Poissonian exit measures are explicitly solved by finding a direct relation with Poissonian potential measures. Our results generalize Albrecher et al. (2016) in which Poissonian exit identities are solved. As an application of Poissonian potential measures, we extend the Gerber–Shiu analysis in Baurdoux et al. (2016) to a (more general) Parisian risk model subject to Poissonian observations. |
Persistent Identifier | http://hdl.handle.net/10722/288167 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Landriault, D | - |
dc.contributor.author | Li, B | - |
dc.contributor.author | Wong, JTY | - |
dc.contributor.author | Xu, D | - |
dc.date.accessioned | 2020-10-05T12:08:51Z | - |
dc.date.available | 2020-10-05T12:08:51Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2018, v. 82, p. 152-166 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/288167 | - |
dc.description.abstract | This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process. Explicit representations of these so-called Poissonian potential measures are established in terms of newly defined Poissonian scale functions. Moreover, Poissonian exit measures are explicitly solved by finding a direct relation with Poissonian potential measures. Our results generalize Albrecher et al. (2016) in which Poissonian exit identities are solved. As an application of Poissonian potential measures, we extend the Gerber–Shiu analysis in Baurdoux et al. (2016) to a (more general) Parisian risk model subject to Poissonian observations. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.subject | Poissonian observations | - |
dc.subject | Potential measures | - |
dc.subject | Exit measures | - |
dc.subject | Spectrally negative Lévy process | - |
dc.subject | Parisian ruin problems | - |
dc.title | Poissonian potential measures for Lévy risk models | - |
dc.type | Article | - |
dc.identifier.email | Wong, JTY: tywong88@hku.hk | - |
dc.identifier.authority | Wong, JTY=rp02605 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2018.07.004 | - |
dc.identifier.scopus | eid_2-s2.0-85051126130 | - |
dc.identifier.hkuros | 315049 | - |
dc.identifier.volume | 82 | - |
dc.identifier.spage | 152 | - |
dc.identifier.epage | 166 | - |
dc.identifier.isi | WOS:000445981700013 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |