A unified approach to ruin probabilities with delays for spectrally negative Lévy processes

Mohamed Amine Lkabous and Jean-François Renaud

Scandinavian Actuarial Journal, 2019, vol. 2019, issue 8, 711-728

Abstract: In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed delays: ruin is declared the first time an excursion in the red zone lasts longer than an implementation delay with a deterministic and a stochastic component. For this Parisian ruin with mixed delays, we identify the joint distribution of the time of ruin and the deficit at ruin, therefore providing generalizations of many results previously obtained, such as in Baurdoux et al. (2016) and Loeffen et al. (in press) for the case of an exponential delay and that of a deterministic delay, respectively.

Date: 2019
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DOI: 10.1080/03461238.2019.1598890

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