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A temporal approach to the Parisian risk model

  • Bin Li (a1), Gordon E. Willmot (a1) and Jeff T. Y. Wong (a1)

Abstract

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).

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Corresponding author

* Postal address: Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, N2L 3G1, Canada.
** Email address: bin.li@uwaterloo.ca
*** Email address: gewillmot@uwaterloo.ca
**** Email address: ty5wong@uwaterloo.ca

References

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A temporal approach to the Parisian risk model

  • Bin Li (a1), Gordon E. Willmot (a1) and Jeff T. Y. Wong (a1)

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