Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076140 | Insurance: Mathematics and Economics | 2017 | 8 Pages |
Abstract
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a finite-time horizon, for a compound Poisson process with drift and exponential claims. The Brownian ruin model is also studied in details. Finally, we analyse for a general framework the relationships between cumulative Parisian ruin and classical ruin, as well as with Parisian ruin based on exponential implementation delays.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hélène Guérin, Jean-François Renaud,