Parisian Ruin of Self-similar Gaussian Risk Processes
Probability
2014-05-14 v1
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.
Keywords
Cite
@article{arxiv.1405.2958,
title = {Parisian Ruin of Self-similar Gaussian Risk Processes},
author = {Krzysztof Dȩbicki and Enkelejd Hashorva and Lanpeng Ji},
journal= {arXiv preprint arXiv:1405.2958},
year = {2014}
}
Comments
14 pages