Parisian ruin of self-similar Gaussian risk processes

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Serval ID
serval:BIB_3BEA2BFD714B
Type
Article: article from journal or magazin.
Collection
Publications
Institution
UNIL/CHUV
Title
Parisian ruin of self-similar Gaussian risk processes
Journal
Journal Applied Probability
Author(s)
Debicki  K., Hashorva  E., Ji  L.
ISSN
0021-9002
Publication state
Published
Issued date
09/2015
Peer-reviewed
Oui
Volume
52
Number
3
Pages
688-702
Language
english
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
Parisian ruin time, Parisian ruin probability, self-similar Gaussian process, fractional Brownian motion, normal approximation, generalized Pickands' constant
URN
urn:nbn:ch:serval-BIB_3BEA2BFD714B7
OAI-PMH
oai:serval.unil.ch:BIB_3BEA2BFD714B
Web of science
000363223900006
Create date
09/10/2014 14:35
Last modification date
21/08/2019 6:08
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