Parisian ruin of self-similar Gaussian risk processes-Reference-Cited by-同舟云学术

Parisian ruin of self-similar Gaussian risk processes

Published:2015-09 Issue:3 Volume:52 Page:688-702
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Dębicki Krzysztof,Hashorva Enkelejd,Ji Lanpeng

Abstract

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between the Parisian and the classical ruin times.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference39 articles.

1. On first and last ruin times of Gaussian processes

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3. Modelling Extremal Events

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5. Selfsimilar Processes

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