排序方式: 共有2条查询结果,搜索用时 0 毫秒
1
1.
Irmina Czarna 《Scandinavian actuarial journal》2016,2016(4):319-337
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. 相似文献
2.
1