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- Publisher Website: 10.1017/jpr.2018.18
- Scopus: eid_2-s2.0-85044618259
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Article: A temporal approach to the Parisian risk model
Title | A temporal approach to the Parisian risk model |
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Authors | |
Keywords | Poisson observation spectrally negative Lévy process Parisian ruin insurance risk model |
Issue Date | 2018 |
Citation | Journal of Applied Probability, 2018, v. 55, n. 1, p. 302-317 How to Cite? |
Abstract | Copyright © Applied Probability Trust 2018. In this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a temporal approach as opposed to the spatial approximation approach in the literature. Our approach leads to a unified proof for the underlying processes with bounded or unbounded variation paths, and our result generalizes Loeffen et al. (2013). |
Persistent Identifier | http://hdl.handle.net/10722/277688 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.551 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, Bin | - |
dc.contributor.author | Willmot, Gordon E. | - |
dc.contributor.author | Wong, Jeff T.Y. | - |
dc.date.accessioned | 2019-09-27T08:29:42Z | - |
dc.date.available | 2019-09-27T08:29:42Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Journal of Applied Probability, 2018, v. 55, n. 1, p. 302-317 | - |
dc.identifier.issn | 0021-9002 | - |
dc.identifier.uri | http://hdl.handle.net/10722/277688 | - |
dc.description.abstract | Copyright © Applied Probability Trust 2018. In this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a temporal approach as opposed to the spatial approximation approach in the literature. Our approach leads to a unified proof for the underlying processes with bounded or unbounded variation paths, and our result generalizes Loeffen et al. (2013). | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Applied Probability | - |
dc.subject | Poisson observation | - |
dc.subject | spectrally negative Lévy process | - |
dc.subject | Parisian ruin | - |
dc.subject | insurance risk model | - |
dc.title | A temporal approach to the Parisian risk model | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1017/jpr.2018.18 | - |
dc.identifier.scopus | eid_2-s2.0-85044618259 | - |
dc.identifier.hkuros | 315047 | - |
dc.identifier.volume | 55 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 302 | - |
dc.identifier.epage | 317 | - |
dc.identifier.isi | WOS:000428631200018 | - |
dc.identifier.issnl | 0021-9002 | - |