TY - JOUR

T1 - Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon

AU - Bai, Long

N1 - Publisher Copyright:
© 2017, © 2017 Informa UK Limited, trading as Taylor & Francis Group.

PY - 2018/7/3

Y1 - 2018/7/3

N2 - Let B(t), t ≥ 0 be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process (Formula presented.) where u ≥ 0 is the initial reserve, δ ≥ 0 is the force of interest, c > 0 is the rate of premium and σ > 0 is a volatility factor. It turns out that the Parisian ruin probability decays exponentially as u tends to infinity and is a decreasing function of the force of interest for u large. Moreover, we obtain the approximations of Parisian ruin time.

AB - Let B(t), t ≥ 0 be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process (Formula presented.) where u ≥ 0 is the initial reserve, δ ≥ 0 is the force of interest, c > 0 is the rate of premium and σ > 0 is a volatility factor. It turns out that the Parisian ruin probability decays exponentially as u tends to infinity and is a decreasing function of the force of interest for u large. Moreover, we obtain the approximations of Parisian ruin time.

KW - Brownian motion

KW - Parisian ruin

KW - ruin probability

KW - ruin time

UR - http://www.scopus.com/inward/record.url?scp=85032207068&partnerID=8YFLogxK

U2 - 10.1080/03461238.2017.1391872

DO - 10.1080/03461238.2017.1391872

M3 - Article

AN - SCOPUS:85032207068

SN - 0346-1238

VL - 2018

SP - 514

EP - 528

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

IS - 6

ER -