Photo from wikipedia
Abstract Let be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process… Click to show full abstract
Abstract Let be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process (0.1) where is the initial reserve, is the force of interest, is the rate of premium and is a volatility factor. It turns out that the Parisian ruin probability decays exponentially as u tends to infinity and is a decreasing function of the force of interest for u large. Moreover, we obtain the approximations of Parisian ruin time.
Keywords:
time horizon;
ruin;
parisian ruin;
brownian motion;
infinite time
Journal Title: Scandinavian Actuarial Journal
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Scandinavian Actuarial Journal
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!