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Parisian ruin with exponential claims

Dassios, Angelos and Wu, Shanle (2008) Parisian ruin with exponential claims. Department of Statistics, London School of Economics and Political Science, London, UK. (Unpublished)

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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.

Item Type: Monograph (Working Paper)
Official URL: http://www2.lse.ac.uk/statistics/home.aspx
Additional Information: © 2011 The Authors
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Feb 2011 16:03
URL: http://eprints.lse.ac.uk/32033/

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