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Discounted probability of exponential parisian ruin: Diffusion approximation
Published online by Cambridge University Press: 18 February 2022
Abstract
We analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the corresponding discounted probability for its diffusion approximation, and we derive the rate of convergence.
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- © The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust
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