Acta mathematica scientia,Series A ›› 2021, Vol. 41 ›› Issue (2): 548-561.

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Parisian Ruin for Spectrally Negative Lévy Processes Under a Hybrid Observation Scheme

Xiaofeng Yang1,Hua Dong1,*(),Hongshuai Dai2   

  1. 1 School of Statistics, Qufu Normal University, Shandong Qufu 273165
    2 School of Statistics, Shandong University of Finance and Economics, Jinan 250014
  • Received:2020-05-05 Online:2021-04-26 Published:2021-04-29
  • Contact: Hua Dong E-mail:sddh1978@126.com
  • Supported by:
    the NSFC(11701319);the NSF of Shandong Province(ZR2019MA035);the NSF of Shandong Province(ZR2020MA035)

Abstract:

In this paper, we consider Parisian ruin problem based on a hybrid observation scheme for a spectrally negative Lévy process. We obtain the joint Laplace transform of the time to ruin and the deficit at ruin time by using the method of Laplace transform and the change of measure technique.

Key words: Lévy risk process, Hybrid observation scheme, Parisian ruin, Laplace transform, Fluctuation identities

CLC Number: 

  • O211.6
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