Discrete time ruin probability with Parisian delay

Abstract

In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time $d>0$. We identify expressions for the ruin probabilities within finite and infinite-time horizon. We also find their light and heavy-tailed asymptotics when initial reserves approach infinity. Finally, we calculate these probabilities for a few explicit examples.

References in corpus (1)

• Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes

Cited by in corpus (1)

• Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance