Ruin probabilities of the Parisian type for small 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. We obtain the probability of ruin in the infinite horizon for the case when the process starts from zero and the asymptotic form of the probability of ruin in the infinite horizon for the case when the process starts from the point far above zero. We see that in the small claim case an asymptotic formula similar to Cramér’s formula is true.

Keywords: Ruin; Parisian type of ruin; risk process; ruin probability; adjustment coefficient (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2008-10-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:32037

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