publication . Article . Preprint . 2016

Discrete time ruin probability with Parisian delay

Czarna, Irmina; Palmowski, Zbigniew; Światek, Przemysław;
Open Access
  • Published: 07 Dec 2016 Journal: Scandinavian Actuarial Journal, volume 2,017, pages 854-869 (issn: 0346-1238, eissn: 1651-2030, Copyright policy)
  • Publisher: Informa UK Limited
Abstract
AbstractIn 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.
Subjects
free text keywords: Asymptotic analysis, Ruin theory, Gambler's ruin, Expression (mathematics), Discrete time and continuous time, Calculus, Infinity, media_common.quotation_subject, media_common, Econometrics, Applied mathematics, Horizon, First-hitting-time model, Mathematics, Mathematics - Probability
Related Organizations
Funded by
EC| RARE
Project
RARE
Risk Analysis, Ruin and Extremes
  • Funder: European Commission (EC)
  • Project Code: 318984
  • Funding stream: FP7 | SP3 | PEOPLE
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publication . Article . Preprint . 2016

Discrete time ruin probability with Parisian delay

Czarna, Irmina; Palmowski, Zbigniew; Światek, Przemysław;