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math.PR2010
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Irmina Czarna, Zbigniew Palmowski
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time . We focus on general spectral…
q-fin.PM2010★ 3 cited
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Irmina Czarna, Zbigniew Palmowski
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when Parisian del…