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On the distribution of cumulative Parisian ruin
16 references·1 citing·33 second hop
On the distribution of cumulative Parisian ruin (2017)On the distribution of cumulative Parisia…Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes (2016)Gerber–Shiu distribution at P…Parisian ruin probability for spectrally negative Lévy processes (2013)Parisian ruin probability for…Occupation times of intervals until first passage times for spectrally negative Lévy processes (2013)Occupation times of intervals…Gerber–Shiu Risk Theory (2013)Gerber–Shiu Risk TheoryAn Insurance Risk Model with Parisian Implementation Delays (2013)An Insurance Risk Model with …The optimal dividend barrier in the Gamma–Omega model (2011)The optimal dividend barrier …Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process (2011)Ruin Probability with Parisia…Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)Randomized observation period…Randomized observation periods for the compound Poisson risk model: Dividends (2011)Randomized observation period…Occupation times of spectrally negative Lévy processes with applications (2011)Occupation times of spectrall…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (1999)THE FEYNMAN–KAC FORMULA AND P…On the Time Value of Ruin (1998)On the Time Value of RuinSome Formulae for a New Type of Path-Dependent Option (1995)Some Formulae for a New Type …How long is the surplus below zero? (1993)How long is the surplus below…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Parisian ruin for a refracted Lévy process (2017)Parisian ruin for a refracted…Stochastic Differential Equations and Applications (1976)Semimartingales (1982)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling and Forecasting Realized Volatility (2003)Stochastic Differential Equations (2006)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)The Valuation of Executive Stock Options in an Intensity-Based Framework (2000)Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (2010)Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)072103 (E50, M20) Option pricing by Esscher transforms (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)On the time to ruin for Erlang(2) risk processes (2001)On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency (2012)Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion (2013)Brownian Excursions and Parisian Barrier Options (1997)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Randomization and the American Put (1998)Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations (2016)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Exit identities for Lévy processes observed at Poisson arrival times (2016)
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References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
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  • 1998On the Time Value of Ruin786 cited
  • 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes124 cited
  • 2011Randomized observation periods for the compound Poisson risk model: Dividends103 cited
  • 2011Randomized observation periods for the compound Poisson risk model: the discounted penalty function100 cited
  • 2013Parisian ruin probability for spectrally negative Lévy processes97 cited
  • 1995Some Formulae for a New Type of Path-Dependent Option96 cited
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  • 2013An Insurance Risk Model with Parisian Implementation Delays90 cited
  • 1993How long is the surplus below zero?86 cited
  • 2011The optimal dividend barrier in the Gamma–Omega model85 cited
  • 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process84 cited
  • 2013Gerber–Shiu Risk Theory80 cited
  • 1999THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES63 cited

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2016
Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
55 cited

Cited by

  • 2017Parisian ruin for a refracted Lévy process27 cited