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arxiv: 1102.4055 · v2 · pith:RL2G3YZYnew · submitted 2011-02-20 · 🧮 math.PR · math.ST· q-fin.RM· stat.TH

Parisian ruin probability for spectrally negative L\'{e}vy processes

classification 🧮 math.PR math.STq-fin.RMstat.TH
keywords processnegativeprobabilityspectrallyformulalevyparisianruin
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In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negative Levy process and the distribution of the process at time r.

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