{
  "id": "1603.09324",
  "version": "v1",
  "published": "2016-03-30T19:43:33.000Z",
  "updated": "2016-03-30T19:43:33.000Z",
  "title": "Parisian ruin for a refracted Lévy process",
  "authors": [
    "Mohamed Amine Lkabous",
    "Irmina Czarna",
    "Jean-François Renaud"
  ],
  "categories": [
    "math.PR",
    "q-fin.RM"
  ],
  "abstract": "In this paper, we investigate Parisian ruin for a L\\'evy surplus process with an adaptive premium rate, namely a refracted L\\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard L\\'evy insurance risk process. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-03-30T19:43:33.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "parisian ruin",
      "refracted lévy process",
      "standard levy insurance risk process",
      "general parisian boundary-crossing problems",
      "levy surplus process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2016arXiv160309324A"
    }
  }
}