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Erlangization 1 Finanzmathematik 1 Gerber–Shiu function 1 Mathematical finance 1 Parisian ruin 1 Probability theory 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1 compound poisson process 1 discounted density 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Cheung, Eric C. K. 1 Wong, Jeff T. Y. 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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A note on a modified Parisian ruin concept
Cheung, Eric C. K.; Wong, Jeff T. Y. - In: Risks : open access journal 11 (2023) 3, pp. 1-15
Traditionally, Parisian ruin is said to occur when the insurer's surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period has been granted when the surplus becomes...
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