University of Hertfordshire

By the same authors

Parisian ruin for the dual risk process in discrete‑time

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Original languageEnglish
Number of pages18
Pages (from-to)197-214
JournalEuropean Actuarial Journal
Journal publication date1 Jun 2018
Volume8
Issue1
Early online date25 Apr 2018
DOIs
Publication statusPublished - 1 Jun 2018

Abstract

In this paper we consider the Parisian ruin probabilities for the dual risk
model in a discrete-time setting. By exploiting the strong Markov property of the
risk process we derive a recursive expression for the finite-time Parisian ruin probability, in terms of classic discrete-time dual ruin probabilities. Moreover, we obtain an explicit expression for the corresponding infinite-time Parisian ruin probability as a limiting case. In order to obtain more analytic results, we employ a conditioning argument and derive a new expression for the classic infinite-time ruin probability in the dual risk model and hence, an alternative form of the infinite-time Parisian ruin probability. Finally, we explore some interesting special cases, including the binomial/geometric model, and obtain a simple expression for the Parisian ruin probability of the gambler’s ruin problem.

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