Geodesic
Parisian ruin probability - the De Vylder type approximation
Mathematica Applicanda, Tome 48 (2020) no. 2, pp. 157-171.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

The Parisian ruin occurs as the capital of the insurance company is negative longer than a predefined period of time. In this article, we propose a simple and fast technique for calculating the Parisian ruin probability for the Cramér-Lundberg model with arbitrary claims that have the first three moments finite. The introduced method is based on the idea of the De Vylder approximation. We apply the method for various claim distributions and verify its accuracy. Lastly, the method is applied to a model that is fitted to the empirical data.
DOI : 10.14708/ma.v48i2.7069
Classification : 91B30;97M30
Mots-clés : risk process, Parisian ruin, De Vylder approximation, lognormal distribution 
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Martyna Zdeb; Marek A. Teuerle. Parisian ruin probability - the De Vylder type approximation. Mathematica Applicanda, Tome 48 (2020) no. 2, pp.  157-171. doi : 10.14708/ma.v48i2.7069. http://geodesic.mathdoc.fr/articles/10.14708/ma.v48i2.7069/

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