1 citations · 1 across the 8 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2019★ 1 cited
Draw-down Parisian ruin for spectrally negative Lévy process
Wenyuan Wang, Xiaowen Zhou
In this paper we study the draw-down related Parisian ruin problem for spectrally negative Lévy risk processes. We introduce the draw-down Parisian ruin time and solve the correspo…
math.PR2018
A draw-down reflected spectrally negative Lévy process
Wenyuan Wang, Xiaowen Zhou
In this paper we study a spectrally negative Lévy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-t…