Acta mathematica scientia,Series A ›› 2019, Vol. 39 ›› Issue (1): 184-199.

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On the Parisian Ruin Probability in a Refracted Lévy Process

Wanlu Zhang,Xianghua Zhao*()   

  1. School of Statistics, Qufu Normal University, Shandong Qufu 273165
  • Received:2017-10-26 Online:2019-02-26 Published:2019-03-12
  • Contact: Xianghua Zhao E-mail:qfzxh@163.com
  • Supported by:
    the NSFC(11571198);the NSFC(11701319);the Natural Science Funndation of Shandong Province(ZR2014AM021)

Abstract:

In this paper, we investigate the Parisian ruin probability for a refracted Lévy process with b ≥ 0 and derive the explicit formulas for Parisian ruin probability. Our methodology use fluctuation theory and the theory of scale functions for spectrally negative Lévy processes. Two examples are provided.

Key words: Refracted Lévy processes, Parisian delay, Parisian ruin probabiliry, Scale function

CLC Number: 

  • O211.6
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