Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier

Esther Frostig; Adva Keren-Pinhasik

doi:10.1007/s11009-019-09693-w

Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier

Esther Frostig, Adva Keren-Pinhasik

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

Parisian ruin occurs once the surplus stays continuously below zero for a given period. We consider the spectrally negative Lévy risk process where ruin is declared either at the first time that the reserve stays continuously below zero for an exponentially or mixed Erlang distributed random variable, or once it reaches a given negative threshold. We consider the Laplace transform of the time to ruin and the Laplace transform of the time that the process is negative.

Original language	English
Pages (from-to)	101-134
Number of pages	34
Journal	Methodology and Computing in Applied Probability
Volume	22
Issue number	1
DOIs	https://doi.org/10.1007/s11009-019-09693-w
State	Published - 1 Mar 2020

Bibliographical note

Publisher Copyright:
© 2019, Springer Science+Business Media, LLC, part of Springer Nature.

Keywords

Exit times
Laplace transform
Risk process
Ruin probability

ASJC Scopus subject areas

Statistics and Probability
General Mathematics

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10.1007/s11009-019-09693-w

Cite this

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Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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