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math.PR2014
Parisian quasi-stationary distributions for asymmetric Lévy processes
Irmina Czarna, Zbigniew Palmowski
In recent years there has been some focus on quasi-stationary behaviour of an one-dimensional Lévy process , where we ask for the law for a…
math.PR2014★ 12 cited
Discrete time ruin probability with Parisian delay
Irmina Czarna, Zbigniew Palmowski, Przemysław Światek
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time .…