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Parisian ruin for a refracted Lévy process

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  • Lkabous, Mohamed Amine
  • Czarna, Irmina
  • Renaud, Jean-François

Abstract

In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard Lévy insurance risk process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.

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  • Lkabous, Mohamed Amine & Czarna, Irmina & Renaud, Jean-François, 2017. "Parisian ruin for a refracted Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 153-163.
    • Handle: RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163
    DOI: 10.1016/j.insmatheco.2017.03.005
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    References listed on IDEAS

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    1. Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, September.
    2. David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
    3. Albrecher, Hansjörg & Ivanovs, Jevgenijs, 2017. "Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 643-656.
    4. Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
    5. Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011. "Occupation times of spectrally negative Lévy processes with applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November.
    6. Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
    7. Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
    8. Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski, 2011. "Parisian ruin probability for spectrally negative L\'{e}vy processes," Papers 1102.4055, arXiv.org, revised Mar 2013.
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    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Lkabous, Mohamed Amine, 2019. "A note on Parisian ruin under a hybrid observation scheme," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 147-157.
    3. David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
    4. Nguyen, Duy Phat & Borovkov, Konstantin, 2023. "Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 72-81.
    5. Irmina Czarna & Adam Kaszubowski, 2020. "Optimality of Impulse Control Problem in Refracted Lévy Model with Parisian Ruin and Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 185(3), pages 982-1007, June.
    6. Xuan Huang & Jieming Zhou, 2022. "General Draw-Down Times for Refracted Spectrally Negative Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 875-891, June.
    7. Mohamed Amine Lkabous, 2019. "A note on Parisian ruin under a hybrid observation scheme," Papers 1907.09993, arXiv.org.
    8. Cheung, Eric C.K. & Zhu, Wei, 2023. "Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 84-101.
    9. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
    10. Piotr Jaworski & Kamil Liberadzki & Marcin Liberadzki, 2021. "On Write-Down/ Write-Up Loss Absorbing Instruments," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1204-1219.
    11. Landriault, David & Li, Bin & Wong, Jeff T.Y. & Xu, Di, 2018. "Poissonian potential measures for Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 152-166.

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