Parisian ruin for a refracted Lévy process
Year of publication: |
May 2017
|
---|---|
Authors: | Lkabous, Mohamed Amine ; Czarna, Irmina ; Renaud, Jean-François |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 153-163
|
Subject: | Parisian ruin | Adaptive premium | Refracted Lévy process | Lévy risk models | Scale functions | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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