serval:BIB_3BEA2BFD714B
Parisian ruin of self-similar Gaussian risk processes
000363223900006
K.
Debicki
author
E.
Hashorva
author
L.
Ji
author
article
2015-09
Journal Applied Probability
0021-9002
journal
52
3
688-702
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.
Parisian ruin time
Parisian ruin probability
self-similar Gaussian process
fractional Brownian motion
normal approximation
generalized Pickands' constant
eng
60_published
peer-reviewed
University of Lausanne
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