英文标题：
《Poissonian occupation times of spectrally negative L\\\'evy processes with
applications》
---
作者：
Mohamed Amine Lkabous
---
最新提交年份：
2019
---
英文摘要：
In this paper, we introduce the concept of \\emph{Poissonian occupation times} below level $0$ of spectrally negative L\\\'evy processes. In this case, occupation time is accumulated only when the process is observed to be negative at arrival epochs of an independent Poisson process. Our results extend some well known continuously observed quantities involving occupation times of spectrally negative L\\\'evy processes. As an application, we establish a link between Poissonian occupation times and insurance risk models with Parisian implementation delays.
---
中文摘要：
在这篇文章中，我们引入了低于0$水平的谱负Levy过程的Poissonian占用时间的概念。在这种情况下，仅当在独立泊松过程的到达时间观察到过程为负时，才累积占用时间。我们的结果推广了一些众所周知的连续观测量，这些量涉及到光谱负L拞evy过程的占据时间。作为一个应用，我们建立了泊松占用时间和具有巴黎实施延迟的保险风险模型之间的联系。
---
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
--
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
--

---
PDF下载：
-->