Parisian ruin with exponential claims

Angelos Dassios and Shanle Wu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. Working with a classical surplus process with exponential jump size, we obtain the Laplace transform of the time of ruin and the probability of ruin in the infinite horizon. We also consider a diffusion approximation and use it to obtain similar results for the Brownian motion with drift.

Keywords: Ruin; Parisian type of ruin; risk process; Laplace transform; ruin probability (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2008-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://eprints.lse.ac.uk/32033/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:32033

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager (lseresearchonline@lse.ac.uk).