Finite time Parisian ruin of an integrated Gaussian risk model

DOI10.1016/J.SPL.2016.12.019zbMATH Open1356.60061OpenAlexW2570556353MaRDI QIDQ512787FDOQ512787

Authors: Xiaofan Peng, Li Luo 

Publication date: 28 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.12.019

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zbMATH Keywords

method of momentsParisian ruinexact asymptoticsintegrated Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Title not available (Why is that?)
• Extremes and related properties of random sequences and processes
• Parisian ruin probability for spectrally negative Lévy processes
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• Parisian ruin over a finite-time horizon
• Parisian ruin of self-similar Gaussian risk processes
• Gaussian risk models with financial constraints
• Parisian ruin of the Brownian motion risk model with constant force of interest
• The Ruin Problem for the Stationary Gaussian Process

Cited In (9)

• Parisian ruin of self-similar Gaussian risk processes
• The time of ultimate recovery in Gaussian risk model
• Gaussian risk models with financial constraints
• Discounted probability of exponential Parisian ruin: diffusion approximation
• Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
• Parisian ruin over a finite-time horizon
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
• Ruin Probability for the Integrated Gaussian Process with Force of Interest
• Parisian Ruin Probability Of An Integrated Gaussian Risk Model

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