Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes

Abstract

Inspired by works of Landriault et al. [11, 12], we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent… (More)
DOI: 10.1017/jpr.2016.21

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Cite this paper

@article{Baurdoux2016GerberShiuDA, title={Gerber-Shiu distribution at Parisian ruin for L{\'e}vy insurance risk processes}, author={Erik J. Baurdoux and Juan Carlos Pardo and Jos{\'e} Luis P{\'e}rez and Jean-François Renaud}, journal={J. Applied Probability}, year={2016}, volume={53}, pages={572-584} }