On first and last ruin times of Gaussian processes (Q935830)

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Language	Label	Description	Also known as
English	On first and last ruin times of Gaussian processes	scientific article

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scholarly article

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On first and last ruin times of Gaussian processes (English)

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Statistics \& Probability Letters

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publication date

8 August 2008

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spl.2007.11.028

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The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

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Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion

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A remark on the moments of ruin time in classical risk theory

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Ruin probability for Gaussian integrated processes.

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Extremes of Gaussian processes over an infinite horizon

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On the moments of ruin and recovery times

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Extremes of a certain class of Gaussian processes

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Limit theorem for maximum of the storage process with fractional Brownian motion as input

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Extreme values of portfolio of Gaussian processes and a trend

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The joint density function of three characteristics on jump-diffusion risk process.

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Identifiers

zbMATH Open document ID

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10.1016/j.spl.2007.11.028

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:935830

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