On the distribution of cumulative Parisian ruin

Hélène Guérin and Jean-François Renaud

Insurance: Mathematics and Economics, 2017, vol. 73, issue C, 116-123

Abstract: We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a finite-time horizon, for a compound Poisson process with drift and exponential claims. The Brownian ruin model is also studied in details. Finally, we analyse for a general framework the relationships between cumulative Parisian ruin and classical ruin, as well as with Parisian ruin based on exponential implementation delays.

Keywords: Cumulative Parisian ruin; Occupation time; Cramér–Lundberg model; Finite-time ruin; Lévy risk models (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:73:y:2017:i:c:p:116-123

DOI: 10.1016/j.insmatheco.2017.01.009

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