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On the distribution of classic and some exotic ruin times

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  • Landriault, David
  • Li, Bin
  • Shi, Tianxiang
  • Xu, Di

Abstract

The time to ruin has been the primary focus of many ruin-related analyses, mainly due to its significance in the assessment of an insurer’s solvency risk. The finite-time ruin probability and more recently, the t-year deferred ruin probability have drawn considerable attention over the years. Embedded into the expected discounted penalty function (Gerber and Shiu, 1998), the time to ruin has also been jointly analyzed with other ruin-related variables of interest, most notably the deficit at ruin. On the other hand, novel ruin definitions have recently been proposed to incorporate more practical considerations into the assessment of an insurer’s solvency risk, such as observing ruin only at discrete times (e.g., the Poisson-observed ruin time) and recognizing an implementation delay in ruin (e.g., the Parisian ruin time with a deterministic or stochastic clock). In this paper, we first revisit some known finite-time ruin results in the compound Poisson risk process and its perturbed version. Thereafter, we enhance the literature on finite-time ruin problems by carrying a distributional study of some modern ruin times, namely the Poisson observed ruin time and the Parisian ruin time.

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  • Landriault, David & Li, Bin & Shi, Tianxiang & Xu, Di, 2019. "On the distribution of classic and some exotic ruin times," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 38-45.
    • Handle: RePEc:eee:insuma:v:89:y:2019:i:c:p:38-45
    DOI: 10.1016/j.insmatheco.2019.08.002
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    References listed on IDEAS

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    1. Liu, Peng & Zhang, Chunsheng & Ji, Lanpeng, 2017. "A note on ruin problems in perturbed classical risk models," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 28-33.
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    Cited by:

    1. Landriault, David & Li, Bin & Lkabous, Mohamed Amine & Wang, Zijia, 2023. "Bridging the first and last passage times for Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 308-334.
    2. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    3. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
    4. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    5. Cheung, Eric C.K. & Zhu, Wei, 2023. "Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 84-101.

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