Parisian ruin of self-similar Gaussian risk processes

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ID Serval
serval:BIB_3BEA2BFD714B
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Parisian ruin of self-similar Gaussian risk processes
Périodique
Journal Applied Probability
Auteur⸱e⸱s
Debicki  K., Hashorva  E., Ji  L.
ISSN
0021-9002
Statut éditorial
Publié
Date de publication
09/2015
Peer-reviewed
Oui
Volume
52
Numéro
3
Pages
688-702
Langue
anglais
Résumé
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.
Mots-clé
Parisian ruin time, Parisian ruin probability, self-similar Gaussian process, fractional Brownian motion, normal approximation, generalized Pickands' constant
Web of science
Création de la notice
09/10/2014 15:35
Dernière modification de la notice
21/08/2019 7:08
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