英文标题：
《A note on Parisian ruin under a hybrid observation scheme》
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作者：
Mohamed Amine Lkabous
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最新提交年份：
2019
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英文摘要：
In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. \\cite{binetal2016}. Under this model, the process is observed at Poisson arrival times whenever the business is financially healthy and it is continuously observed when it goes below $0$. The Parisian ruin is then declared when the process stays below zero for a consecutive period of time greater than a fixed delay. We improve the result originally obtained in \\cite{binetal2016} and we compute other fluctuation identities. All identities are given in terms of second-generation scale functions.
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中文摘要：
在本文中，我们研究了Li等人引入的混合观测方案模型下巴黎破产的概念。在这个模型下，只要企业财务状况良好，就可以在泊松到达时间观察到这个过程，当它低于0美元时，就可以持续观察到这个过程。然后，当过程在大于固定延迟的连续时间段内保持在零以下时，宣布巴黎破产。我们改进了最初在{binetal2016}中获得的结果，并计算了其他波动恒等式。所有恒等式都是根据第二代尺度函数给出的。
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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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