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Ruin probability with Parisian delay for a spectrally negative L'evy risk process | | Irmina Czarna
; Zbigniew Palmowski
; | | Date: |
22 Mar 2010 | | Abstract: | In this paper we analyze the so-called Parisian ruin probability that happens
when the surplus process stays below zero longer than fixed amount of time
$zeta>0$. We focus on general spectrally negative L’{e}vy insurance risk
process. For this class of processes we identify the expression for the ruin
probability in terms of some other quantities that could be possibly calculated
explicitly in many models. We find its Cram’{e}r-type and
convolution-equivalent asymptotics when reserves tends to infinity. Finally, we
analyze few explicit examples. | | Source: | arXiv, 1003.4299 | | Services: | Forum | Review | PDF | Favorites | |
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