Journal of Applied Probability

Parisian ruin of self-similar Gaussian risk processes

Krzysztof Dębicki, Enkelejd Hashorva, and Lanpeng Ji

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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.

Article information

Source
J. Appl. Probab. Volume 52, Number 3 (2015), 688-702.

Dates
First available in Project Euclid: 22 October 2015

Permanent link to this document
https://projecteuclid.org/euclid.jap/1445543840

Digital Object Identifier
doi:10.1239/jap/1445543840

Mathematical Reviews number (MathSciNet)
MR3414985

Zentralblatt MATH identifier
1326.60042

Subjects
Primary: 60G15: Gaussian processes
Secondary: 60G70: Extreme value theory; extremal processes

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

Citation

Dębicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng. Parisian ruin of self-similar Gaussian risk processes. J. Appl. Probab. 52 (2015), no. 3, 688--702. doi:10.1239/jap/1445543840. https://projecteuclid.org/euclid.jap/1445543840


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