The University of Southampton
University of Southampton Institutional Repository

A note on Parisian ruin under a hybrid observation scheme

A note on Parisian ruin under a hybrid observation scheme
A note on Parisian ruin under a hybrid observation scheme

In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. (2018). Under this model, the process is observed at Poisson arrival times whenever the business is financially healthy and it is continuously observed when it goes below 0. The Parisian ruin is then declared when the process stays below zero for a consecutive period of time greater than a fixed delay. We improve the result originally obtained in Li et al. (2018) and we compute other fluctuation identities. All identities are given in terms of second-generation scale functions.

Hybrid observation scheme, Lévy insurance risk processes, Parisian ruin, Second-generation scale functions
0167-7152
147-157
Lkabous, Mohamed Amine
c511ddd2-2517-471b-bd73-8d8b7ab74a1b
Lkabous, Mohamed Amine
c511ddd2-2517-471b-bd73-8d8b7ab74a1b

Lkabous, Mohamed Amine (2019) A note on Parisian ruin under a hybrid observation scheme. Statistics and Probability Letters, 145, 147-157. (doi:10.1016/j.spl.2018.09.013).

Record type: Article

Abstract

In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. (2018). Under this model, the process is observed at Poisson arrival times whenever the business is financially healthy and it is continuously observed when it goes below 0. The Parisian ruin is then declared when the process stays below zero for a consecutive period of time greater than a fixed delay. We improve the result originally obtained in Li et al. (2018) and we compute other fluctuation identities. All identities are given in terms of second-generation scale functions.

This record has no associated files available for download.

More information

Accepted/In Press date: 19 September 2018
e-pub ahead of print date: 26 September 2018
Published date: 1 February 2019
Additional Information: Funding Information: Funding in support of this work was provided by the Institut des sciences mathématiques (ISM) and the Faculté des sciences at UQAM (Ph.D. scholarships). The author thanks two anonymous referees for their very helpful comments and suggestions. Funding Information: Funding in support of this work was provided by the Institut des sciences mathématiques (ISM) and the Faculté des sciences at UQAM (Ph.D. scholarships). The author thanks two anonymous referees for their very helpful comments and suggestions. Publisher Copyright: © 2018 Elsevier B.V.
Keywords: Hybrid observation scheme, Lévy insurance risk processes, Parisian ruin, Second-generation scale functions

Identifiers

Local EPrints ID: 468192
URI: http://eprints.soton.ac.uk/id/eprint/468192
ISSN: 0167-7152
PURE UUID: 3217eb19-a779-440f-b9ea-23ebc03c60cc

Catalogue record

Date deposited: 04 Aug 2022 16:53
Last modified: 17 Mar 2024 13:03

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×