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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2017

On the distribution of cumulative Parisian ruin

Résumé

We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a finite-time horizon, for a compound Poisson process with drift and exponential claims. The Brownian ruin model is also studied in details. Finally, we analyze for a general framework the relationships between cumulative Parisian ruin and classical ruin, as well as with Parisian ruin based on exponential implementation delays.

Dates et versions

hal-01207705 , version 1 (01-10-2015)

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Hélène Guérin, Jean-François Renaud. On the distribution of cumulative Parisian ruin. Insurance: Mathematics and Economics, 2017, 73, pp.116-123. ⟨10.1016/j.insmatheco.2017.01.009⟩. ⟨hal-01207705⟩
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