Parisian Ruin of the Brownian Motion Risk Model with Constant Force of   Interest
  Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. Define a risk process \label{Rudef} R_u^{\delta}(t)=e^{\delta t}\left(u+c\int^{t}_{0}e^{-\delta s}d s-\sigma\int_{0}^{t}e^{-\delta s}d B(s)\right), t\geq0, where $u\geq 0$ is the initial reserve, $\delta\geq0$ is the force of interest, $c>0$ is the rate of premium and $\sigma>0$ is a volatility factor. In this contribution we obtain an approximation of the Parisian ruin probability \mathcal{K}_S^{\delta}(u,T_u):=\mathbb{P}\left\{\inf_{t\in[0,S]} \sup_{s\in[t,t+T_u]} R_u^{\delta}(s)<0\right\}, S\ge 0, as $u\rightarrow\infty$ where $T_u$ is a bounded function. Further, we show that the Parisian ruin time of this risk process can be approximated by an exponential random variable. Our results are new even for the classical ruin probability and ruin time which correspond to $T_u\equiv0$ in the Parisian setting. 
Long Bai and Li Luo
math.PR