The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model

DOI10.1016/J.CAM.2016.09.045zbMATH Open1353.91022arXiv1603.05925OpenAlexW2963654044MaRDI QIDQ344313FDOQ344313

Authors: Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao 

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is exponentially distributed.

Full work available at URL: https://arxiv.org/abs/1603.05925

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zbMATH Keywords

classical risk modelParisian ruinjoint distributionnumber of claimsmixed Erlang

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• The Time Value of Ruin in a Sparre Andersen Model
• How many claims does it take to get ruined and recovered?
• Parisian ruin probability for spectrally negative Lévy processes
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Brownian Excursions and Parisian Barrier Options
• An insurance risk model with Parisian implementation delays
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Occupation times of spectrally negative Lévy processes with applications
• On the Ruin Problem of Collective Risk Theory
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims
• The time to ruin and the number of claims until ruin for phase-type claims
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model

Cited In (8)

• On the distribution of classic and some exotic ruin times
• Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
• Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Parisian ruin probability -- the De Vylder type approximation
• On periodic dividends for the classical risk model with debit interest
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• Parisian ruin with Erlang delay and a lower bankruptcy barrier

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