Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
Year of publication: |
2023
|
---|---|
Authors: | Nguyen, Duy Phat ; Borovkov, Konstantin A. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 110.2023, p. 72-81
|
Subject: | Laplace transform of the ruin time | Lévy process | Parisian ruin | Random delay | Scale function |
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