Parisian ruin over a finite-time horizon

DOI10.1007/s11425-015-5073-6zbMath1341.60024arXiv1504.07061MaRDI QIDQ295101

Lanpeng Ji, Enkelejd Hashorva, Krzysztof Dȩbicki

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07061

zbMATH Keywords

fractional Brownian motion; Gaussian process; risk process; Lévy process; tail asymptotics; Parisian ruin; standard Brownian motion; generalized Pickands constant; generalized Piterbarg constant

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

60G70: Extreme value theory; extremal stochastic processes

60J65: Brownian motion

60F99: Limit theorems in probability theory

Related Items

Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon, Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model, Approximation of ruin probability and ruin time in discrete Brownian risk models, Uniform tail approximation of homogenous functionals of Gaussian fields, Cumulative Parisian ruin probability for two-dimensional Brownian risk model, Parisian ruin of the Brownian motion risk model with constant force of interest, Finite time Parisian ruin of an integrated Gaussian risk model, Extremes of threshold-dependent Gaussian processes, Parisian ruin probability for two-dimensional Brownian risk model, Extrema of a Gaussian random field: Berman's sojourn time method, Approximation of sojourn times of Gaussian processes, The time of ultimate recovery in Gaussian risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On asymptotic constants in the theory of extremes for Gaussian processes
• Extremes of aggregated Dirichlet risks
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of Shepp statistics for fractional Brownian motion
• Exact tail asymptotics in bivariate scale mixture models
• A limit theorem for the time of ruin in a Gaussian ruin problem
• The supremum of a process with stationary independent and symmetric increments
• Self-similar processes in collective risk theory
• Extremes of a certain class of Gaussian processes
• Ruin probability for Gaussian integrated processes.
• Asymptotics of large deviation probabilities for Gaussian fields
• Parisian ruin probability for spectrally negative Lévy processes
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Piterbarg theorems for chi-processes with trend
• On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
• Extremes of Gaussian processes over an infinite horizon
• Approximation of Passage Times of γ-Reflected Processes with FBM Input
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• Parisian ruin of self-similar Gaussian risk processes
• Brownian Excursions and Parisian Barrier Options
• Gaussian risk models with financial constraints
• Parisian ruin probability with a lower ultimate bankrupt barrier
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Aggregation of log-linear risks
• Upcrossing Probabilities for Stationary Gaussian Processes