Risk Management 金融风险管理论文 - Parisian ruin probability for spectrally negative Lévy processes_推荐.pdfVIP

Parisian ruin probability for spectrally negative L´evy ∗† processes 1 Ronnie Loeffen‡ Irmina Czarna§ Zbigniew Palmowski¶ 1 0 February 22, 2011 2 b e F 0 Abstract. In this note we give, for a spectrally negative L´evy process, a compact 2 formula for the Parisian ruin probability, which is defined by the probability that the ] process exhibits an excursion below zero which length exceeds a certain fixed period R r. The formula involves only the scale function of the spectrally negative L´evy process P . and the distribution of the process at time r. h t Keywords: L´evy process, ruin probability, Parisian ruin, risk process. a MSC 2000: 60J99, 93E20, 60G51. m [ 1 1 Introduction v 5 Let X = {X ,t ≥ 0} be a spectrally negative L´evy process on the filtered probability 5 t 0 space (Ω,F ,{Ft : t ≥ 0},P), i.e. X is a stochastic process issued from the origin which 4 . has stationary and independent increments and c`adl`ag paths that have no positive jump 2 0 discontinuities. To avoid degenerate cases, we exlude the case where X has monotone paths. 1 As a strong Markov process we shall endow X with probabilities {P : x ∈ R} such that 1 x : under P we have X = x with probability one. Further E denotes expectation with respect x 0 x v to P . Recall that P = P and E = E . For background on spectrally negative L´evy processes i x