Poissonian potential measures for Lévy risk models
Loading...
Date
2018-09-01
Authors
Landriault, David
Li, Bin
Wong, Jeff T. Y.
Xu, Di
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process. Explicit representations of these so-called Poissonian potential measures are established in terms of newly defined Poissonian scale functions. Moreover, Poissonian exit measures are explicitly solved by finding a direct relation with Poissonian potential measures. Our results generalize Albrecher et al. (2016) in which Poissonian exit identities are solved. As an application of Poissonian potential measures, we extend the Gerber–Shiu analysis in Baurdoux et al. (2016) to a (more general) Parisian risk model subject to Poissonian observations.
Description
The final publication is available at Elsevier via https://dx.doi.org/10.1016/j.insmatheco.2018.07.004 © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords
Exit measures, Parisian ruin problems, Poissonian observations, Potential measures, Spectrally negative Lévy process