Parisian ruin with exponential claims

By Angelos Dassios, Shanle Wu. 2008

77 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ab6e2902996bc426d1d8d399a18fb2a198d46550

Citations in the corpus

• OCCUPATION TIMES OF SPECTRALLY NEGATIVE LÉVY PROCESSES WITH APPLICATIONS (2010, unknown): “More precisely, it is assumed that ruin occurs as soon as an excursion below a critical level is longer than a deterministic time; such models have been studied only very recently (see [7,6,17,18]), while the idea has been borrowed from finance and Parisian barrier options (see [5]).”
• An Insurance Risk Model with Parisian Implementation Delays (2013, unknown): “As in Dassios and Wu (2009), the surplus process is allowed to spend time under a pre-specified default level before ruin is recognized.”