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Property / author: Xiao-Wen Zhou / rank | |||
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Property / author: Xiao-Wen Zhou / rank | |||
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The authors study Lévy insurance risk processes where the surplus process is allowed to spend time under a pre-specified default level before ruin is recognized. This setup, called \textit{Parisian ruin}, is motivated by the practical consideration that a regulator is unlikely to monitor the surplus level on a continuous basis, hence may not be immediately notified of a capital shortfall event. The implementation delays are stochastic and are specified to be of mixed Erlang nature, which is shown to improve the tractability of the Laplace transform of the ruin time, as compared to the approach in [\textit{I. Czarna} and \textit{Z. Palmowski}, J. Appl. Probab. 48, No. 4, 984--1002 (2011; Zbl 1232.60036)] where the delays are deterministic. The authors present explicit formulas for the Laplace transform of the Parisian ruin time when the implementation delay is exponentially distributed or follows a mixed Erlang distribution. For the classical compound Poisson risk model, a numerical example is presented showing that if a deterministic delay time \(T\) is approximated by a sequence of Erlang distributed implementation delays with mean \(T\) and variance \(T^{2}/n\), then these Parisian ruin probabilities converge to the Parisian ruin probability with a deterministic implementation delay; moreover, the Parisian ruin probabilities with Erlang delays are more conservative than their counterparts with deterministic delay. | |||
Property / review text: The authors study Lévy insurance risk processes where the surplus process is allowed to spend time under a pre-specified default level before ruin is recognized. This setup, called \textit{Parisian ruin}, is motivated by the practical consideration that a regulator is unlikely to monitor the surplus level on a continuous basis, hence may not be immediately notified of a capital shortfall event. The implementation delays are stochastic and are specified to be of mixed Erlang nature, which is shown to improve the tractability of the Laplace transform of the ruin time, as compared to the approach in [\textit{I. Czarna} and \textit{Z. Palmowski}, J. Appl. Probab. 48, No. 4, 984--1002 (2011; Zbl 1232.60036)] where the delays are deterministic. The authors present explicit formulas for the Laplace transform of the Parisian ruin time when the implementation delay is exponentially distributed or follows a mixed Erlang distribution. For the classical compound Poisson risk model, a numerical example is presented showing that if a deterministic delay time \(T\) is approximated by a sequence of Erlang distributed implementation delays with mean \(T\) and variance \(T^{2}/n\), then these Parisian ruin probabilities converge to the Parisian ruin probability with a deterministic implementation delay; moreover, the Parisian ruin probabilities with Erlang delays are more conservative than their counterparts with deterministic delay. / rank | |||
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Property / reviewed by: Tamás Mátrai / rank | |||
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Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6377130 / rank | |||
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Property / zbMATH Keywords | |||
Lévy risk processes | |||
Property / zbMATH Keywords: Lévy risk processes / rank | |||
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stochastic implementation delays | |||
Property / zbMATH Keywords: stochastic implementation delays / rank | |||
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insurance risk theory | |||
Property / zbMATH Keywords: insurance risk theory / rank | |||
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Parisian ruin | |||
Property / zbMATH Keywords: Parisian ruin / rank | |||
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compound Poisson risk model | |||
Property / zbMATH Keywords: compound Poisson risk model / rank | |||
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mixed Erlang distribution | |||
Property / zbMATH Keywords: mixed Erlang distribution / rank | |||
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scale function | |||
Property / zbMATH Keywords: scale function / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W3123139416 / rank | |||
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Property / cites work | |||
Property / cites work: Erlangian Approximations for Finite-Horizon Ruin Probabilities / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 10:29, 9 July 2024
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English | An insurance risk model with Parisian implementation delays |
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An insurance risk model with Parisian implementation delays (English)
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5 December 2014
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The authors study Lévy insurance risk processes where the surplus process is allowed to spend time under a pre-specified default level before ruin is recognized. This setup, called \textit{Parisian ruin}, is motivated by the practical consideration that a regulator is unlikely to monitor the surplus level on a continuous basis, hence may not be immediately notified of a capital shortfall event. The implementation delays are stochastic and are specified to be of mixed Erlang nature, which is shown to improve the tractability of the Laplace transform of the ruin time, as compared to the approach in [\textit{I. Czarna} and \textit{Z. Palmowski}, J. Appl. Probab. 48, No. 4, 984--1002 (2011; Zbl 1232.60036)] where the delays are deterministic. The authors present explicit formulas for the Laplace transform of the Parisian ruin time when the implementation delay is exponentially distributed or follows a mixed Erlang distribution. For the classical compound Poisson risk model, a numerical example is presented showing that if a deterministic delay time \(T\) is approximated by a sequence of Erlang distributed implementation delays with mean \(T\) and variance \(T^{2}/n\), then these Parisian ruin probabilities converge to the Parisian ruin probability with a deterministic implementation delay; moreover, the Parisian ruin probabilities with Erlang delays are more conservative than their counterparts with deterministic delay.
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Lévy risk processes
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stochastic implementation delays
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insurance risk theory
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Parisian ruin
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compound Poisson risk model
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mixed Erlang distribution
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scale function
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