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math.PR2019
A note on Parisian ruin under a hybrid observation scheme
Mohamed Amine Lkabous
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…
math.PR2019
Poissonian occupation times of spectrally negative Lévy processes with applications
Mohamed Amine Lkabous
In this paper, we introduce the concept of \emph{Poissonian occupation times} below level of spectrally negative Lévy processes. In this case, occupation time is accumulated on…
q-fin.RM2019
On occupation times in the red of Lévy risk models
David Landriault, Bin Li, Mohamed Amine Lkabous
In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level ) up to an (independent) exponential horizon for spectrally ne…