Parisian ruin of self-similar Gaussian risk processes

Krzysztof Dębicki; Enkelejd Hashorva; Lanpeng Ji

doi:10.1239/jap/1445543840

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.

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Krzysztof Dębicki. Enkelejd Hashorva. Lanpeng Ji. "Parisian ruin of self-similar Gaussian risk processes." J. Appl. Probab. 52 (3) 688 - 702, September 2015. https://doi.org/10.1239/jap/1445543840

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Published: September 2015

First available in Project Euclid: 22 October 2015

zbMATH: 1326.60042

MathSciNet: MR3414985

Digital Object Identifier: 10.1239/jap/1445543840

Subjects:

Primary: 60G15

Secondary: 60G70

Keywords: fractional Brownian motion , generalized Pickands' constant , Normal approximation , Parisian ruin probability , Parisian ruin time , self-similar Gaussian process

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