Discounted probability of exponential parisian ruin: Diffusion approximation
Copyright policy )Discounted probability of exponential parisian ruin: Diffusion approximation
AbstractWe analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the corresponding discounted probability for its diffusion approximation, and we derive the rate of convergence.
- Hebei University of Technology China (People's Republic of)
- University of Michigan–Flint United States
Integro-ordinary differential equations, asymptotic analysis, Risk models (general), diffusion approximation, Cramér-Lundberg risk model, exponential Parisian ruin, Approximation methods and heuristics in mathematical programming
Integro-ordinary differential equations, asymptotic analysis, Risk models (general), diffusion approximation, Cramér-Lundberg risk model, exponential Parisian ruin, Approximation methods and heuristics in mathematical programming
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