Parisian Ruin Probability Of An Integrated Gaussian Risk Model

2016/10/03 by Xiaofan Peng, Li Luo, Peng, Xiaofan +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #math.PR

paper · pdf · doi:10.48550/arxiv.1610.00522

arxiv created 2016/10/03 · openalex publication_date 2016/10/03 · arxiv updated 2016/10/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we investigate the Parisian ruin probability for an integrated Gaussian process. Under certain assumptions, we find the Parisian ruin probability and the classical ruin probability are on the log-scale asymptotically the same. Moreover, for any small interval required by the risk process staying below level zero, the Parisian ruin probability and the classical one are the same also in the premise asymptotic behavior. Furthermore, we derive an approximation of the conditional ruin time.

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