Laplace Transformation of the Ruin Time for a Risk Model with a Parisian Implementation Delay

Abstract

In this paper, we apply the concept of the Parisian implementation delay to dividend payments and assume that the claim amount paid Zi by the insurance company for the ith time follows an exponential distribution. We give the Laplace transformation of the ruin time for a risk model with a Parisian implementation delay and give display expressions using the scale function.

Keywords

• Laplace transformation
• Parisian implementation delay
• risk model