Discrete time ruin probability with Parisian delay

Irmina Czarna, Zbigniew Palmowski and Przemysław Świa̧tek

Scandinavian Actuarial Journal, 2017, vol. 2017, issue 10, 854-869

Abstract: 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$ 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 probabilities for a few explicit examples.

Date: 2017
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DOI: 10.1080/03461238.2016.1261734

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