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2012•Journal of Suzhou University of Science and TechnologyRequires access

Parisian ruin for the dual model

Yinghui Dong

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Abstract

This paper studies the Parisian ruin for the dual model in risk theory.The Laplace transform of the Parisian ruin time is given.With the Gaver-Stefest algorithm,the numerical solution for the distribution of the Parisian ruin time is obtained.The explicit expression for Laplace transform of the Parisian ruin time is presented when the gain amount distribution is exponential.Moreover,numerical calculations have been done.

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What this paper is about

This paper studies the Parisian ruin for the dual model in risk theory.The Laplace transform of the Parisian ruin time is given.With the Gaver-Stefest algorithm,the numerical solution for the distribution of the Parisian ruin time is obtained.The explicit expression for Laplace transform of the Parisian ruin time is presented when the gain amount distribution is exponential.Moreover,numerical calculations have been done.

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Available abstract

This paper studies the Parisian ruin for the dual model in risk theory.The Laplace transform of the Parisian ruin time is given.With the Gaver-Stefest algorithm,the numerical solution for the distribution of the Parisian ruin time is obtained.The explicit expression for Laplace transform of the Parisian ruin time is presented when the gain amount distribution is exponential.Moreover,numerical calculations have been done.

Key concepts: Laplace transform, Ruin theory, Dual (grammatical number), Mathematics, Distribution (mathematics), Exponential function, Exponential distribution, Laplace distribution

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