Palmowski, Zbigniew, Ramsden, Lewis and Papaioannou, Apostolos (2018) Parisian ruin for the dual risk process in discrete-time. European Actuarial Journal. pp. 197-214. ISSN 2190-9733
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s) 2018. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 16 Sep 2019 11:40 |
Last Modified: | 16 Oct 2024 16:00 |
Status: | Published |
Refereed: | Yes |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:150903 |
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