Finite time Parisian ruin of an integrated Gaussian risk model

DOI10.1016/J.SPL.2016.12.019MaRDI QIDQ512787zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

method of momentsParisian ruinexact asymptoticsintegrated Gaussian process

Mathematics Subject Classification ID

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

Recommendations

• Parisian ruin over a finite-time horizon
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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Extremes and related properties of random sequences and processes
• Gaussian risk models with financial constraints
• Parisian ruin of self-similar Gaussian risk processes
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Parisian ruin over a finite-time horizon
• Parisian ruin probability for spectrally negative Lévy processes
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• The Ruin Problem for the Stationary Gaussian Process

Cited in

(9)

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

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