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- W2003183011 abstract "The paper deals with a ruin problem, where there is a Parisian delay and a lower ultimate bankrupt barrier. In this problem, we will say that a risk process get ruined when it stays below zero longer than a fixed amount of time ζ > 0 or goes below a fixed level −a. We focus on a general spectrally negative Lévy insurance risk process. For this class of processes, we identify the Laplace transform of the ruin probability in terms of so-called q-scale functions. We find its Cramér-type and convolution-equivalent asymptotics when reserves tends to infinity. Finally, we analyze few explicit examples." @default.
- W2003183011 created "2016-06-24" @default.
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- W2003183011 date "2014-06-23" @default.
- W2003183011 modified "2023-09-27" @default.
- W2003183011 title "Parisian ruin probability with a lower ultimate bankrupt barrier" @default.
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- W2003183011 doi "https://doi.org/10.1080/03461238.2014.926288" @default.
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