Discrete time ruin probability with Parisian delay
نویسندگان
چکیده
منابع مشابه
Discrete Time Ruin Probability with Parisian Delay
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 p...
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In this paper we analyze the so-called Parisian ruin probability, which arises when the surplus process stays below 0 longer than a fixed amount of time ζ > 0. We focus on a general spectrally negative Lévy insurance risk process. For this class of processes, we derive an expression for the ruin probability in terms of quantities that can be calculated explicitly in many models. We find its Cra...
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In this note we give, for a spectrally negative Lévy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero which length exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negative Lévy process and the distribution of the process at time r.
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Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a constant stationary policy. The relationships between these in...
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ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2016
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461238.2016.1261734