In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. We obtain the probability of ruin in the infinite horizon for the case when...

In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the...