Parisian ruin of self-similar Gaussian risk processes
DOI10.1239/jap/1445543840zbMath1326.60042arXiv1405.2958OpenAlexW2245337991MaRDI QIDQ3449926
Krzysztof Dȩbicki, Lanpeng Ji, Enkelejd Hashorva
Publication date: 30 October 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.2958
fractional Brownian motionnormal approximationgeneralized Pickands' constantParisian ruin probabilityself-similar Gaussian risk processes
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Self-similar stochastic processes (60G18)
Related Items (20)
Cites Work
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