On Parisian ruin over a finite-time horizon

Abstract: For a risk process $R_u(t)=u+ct-X(t), t\ge 0$, where $u\ge 0$ is the initial capital, $c>0$ is the premium rate and $X(t),t\ge 0$ is an aggregate claim process, we investigate the probability of the Parisian ruin [ \mathcal{P}S(u,T_u)=\mathbb{P}{\inf{t\in[0,S]} \sup_{s\in[t,t+T_u]} R_u(s)<0}, ] with a given positive constant $S$ and a positive measurable function $T_u$. We derive asymptotic expansion of $\mathcal{P}_S(u,T_u)$, as $u\to\infty$, for the aggregate claim process $X$ modeled by Gaussian processes. As a by-product, we derive the exact tail asymptotics of the infimum of a standard Brownian motion with drift over a finite-time interval.