On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
Jeff T.Y. Wong, Eric C.K. Cheung
| Year of publication: |
2015
|
|---|---|
| Authors: | Wong, Jeff T. Y. ; Cheung, Eric C. K. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 280-290
|
| Subject: | Parisian ruin time | Sparre Andersen model | Dual risk model | Lagrange's expansion theorem | Excursion | Occupation time in red | Risiko | Risk | Theorie | Theory | Risikomodell | Risk model | Finanzmathematik | Mathematical finance | Zeit | Time |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011428675