Abstract
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the finite-time Parisian ruin probability, in terms of classic discrete-time dual ruin probabilities. Moreover, we obtain an explicit expression for the corresponding infinite-time Parisian ruin probability as a limiting case. In order to obtain more analytic results, we employ a conditioning argument and derive a new expression for the classic infinite-time ruin probability in the dual risk model and hence, an alternative form of the infinite-time Parisian ruin probability. Finally, we explore some interesting special cases, including the binomial/geometric model, and obtain a simple expression for the Parisian ruin probability of the gambler’s ruin problem.
| Original language | English |
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| Pages (from-to) | 197-214 |
| Journal | European Actuarial Journal |
| Volume | 8 |
| Issue number | 1 |
| Early online date | 25 Apr 2018 |
| Publication status | Published - Jun 2018 |