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An excursion theoretic approach to Parisian ruin problem (2305.07745v1)

Published 12 May 2023 in math.PR

Abstract: Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L\'evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L\'evy process. We show that these new expressions reconcile with the previous results on Parisian ruin problem.

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