用游览理论解决巴黎废墟问题

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-05-27 DOI:10.1016/j.insmatheco.2024.05.001

Bo Li , Xiaowen Zhou

引用次数: 0

摘要

应用游离理论，我们用相对于相应游离度量的积分重新表达了与莱维风险过程的巴黎毁灭相关的几个经过充分研究的波动量。我们证明，这些新表达式与之前关于巴黎毁灭问题的结果是一致的。

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An excursion theoretic approach to Parisian ruin problem

Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin for Lévy risk processes in terms of integrals with respect to the corresponding excursion measure. We show that these new expressions reconcile with the previous results on the Parisian ruin problem.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.