Discrete time ruin probability with Parisian delay
Probability
2017-06-16 v2
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 . 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.
Keywords
Cite
@article{arxiv.1403.7761,
title = {Discrete time ruin probability with Parisian delay},
author = {Irmina Czarna and Zbigniew Palmowski and Przemysław Światek},
journal= {arXiv preprint arXiv:1403.7761},
year = {2017}
}