摘要翻译：
本文引入了一个具有自适应保险费率的保险破产模型，并将其称为重组/折射模型，在此模型中区分了经典破产和破产。在该模型中，当财富过程跌入红区时，保险费率就会提高，当过程恢复时，保险费率就会恢复到正常水平。分析主要集中在一个折射的L\\\'evy风险过程在红区花费的时间（类似于负盈余的持续时间）。基于Kyprianou和Loeffen(2010)和Loeffen等人的结果。(2012)，我们确定了与折射谱负L\\\'evy过程占据时间有关的各种函数的分布。例如，这些结果被用来计算重组模型的破产概率和巴黎破产概率。
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英文标题：
《On the time spent in the red by a refracted L\\\'evy risk process》
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作者：
Jean-Fran\\c{c}ois Renaud
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最新提交年份：
2013
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model, the premium rate is increased as soon as the wealth process falls into the red zone and is brought back to its regular level when the process recovers. The analysis is mainly focused on the time a refracted L\\\'evy risk process spends in the red zone (analogous to the duration of the negative surplus). Building on results from Kyprianou and Loeffen (2010) and Loeffen et al. (2012), we identify the distribution of various functionals related to occupation times of refracted spectrally negative L\\\'evy processes. For example, these results are used to compute the probability of bankruptcy and the probability of Parisian ruin in this model with restructuring.
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