Cheung, Eric C. K.; Wong, Jeff T. Y. - In: Risks : open access journal 11 (2023) 3, pp. 1-15
Traditionally, Parisian ruin is said to occur when the insurer's surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period has been granted when the surplus becomes...