Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon

DOI10.1080/03461238.2017.1391872MaRDI QIDQ4583618zbMATH OpenOpenAlexFDO

Authors Long Bai

Publication date 31 August 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.06091

zbMATH Keywords

Brownian motionParisian ruinruin probabilityruin time

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Abstract: Let $B(t),tinmathbbR$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process �egin{align}label{Rudef} R_u^{delta}(t)=e^{delta t}left(u+cint^{t}_{0}e^{-delta v}d v-sigmaint_{0}^{t}e^{-delta v}d B(v) ight),quad tgeq0, end{align} where $ugeq0$ is the initial reserve, $deltageq0$ is the force of interest, $c>0$ is the rate of premium and $sigma>0$ is a volatility factor. Further, we show the asymptotics of the Parisian ruin time of this risk process.

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Cited in

(11)

• Parisian ruin probability for two-dimensional Brownian risk model
• Killed Brownian motion with a prescribed lifetime distribution and models of default
• Parisian ruin over a finite-time horizon
• Parisian ruin of the Brownian motion risk model with constant force of interest
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