99 citations · 127 across the 11 of their papers we have counts for
3 papers · 1 filter
Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we consider a classical risk process perturbed by a Brownian motion. We analyze the value function describing the mean of the cumulative discounted dividend payments…
The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
Irmina Czarna, Yanhong Li, Zbigniew Palmowski +1
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk…
Parisian ruin for a refracted Lévy process
Mohamed Amine Lkabous, Irmina Czarna, Jean-François Renaud
In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. More general Parisian boundary-crossing probl…