Discrete time ruin probability with Parisian delay (original) (raw)

In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time d > 0. We identify expressions for the ruin probabilities within finite and infinite-time horizon. We also find their light and heavy-tailed asymptotics when initial reserves approach infinity. Finally, we calculate these probabilities for a few explicit examples. Keywords. Discrete time risk process ruin probability asymptotic Parisian ruin.