On the -reflected processes with fBm input

DOI10.1007/S10986-015-9288-6zbMATH Open1325.60054arXiv1402.2628OpenAlexW2161008978MaRDI QIDQ746980FDOQ746980

Authors: Peng Liu, Lanpeng Ji, Enkelejd Hashorva 

Publication date: 22 October 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: Define a $gamma$-reflected process $W_{g}amma(t)=Y_H(t)-gammain{f}_{sin[0,t]}{Y}_H(s)$, $tge0$ with input process $Y_H(t),tge0$ which is a fractional Brownian motion with Hurst index $Hin(0,1)$ and a negative linear trend. In risk theory $R_{g}amma(t)=u-W_{g}amma(t),tge0$ is referred to as the risk process with tax of a loss-carry-forward type, whereas in queueing theory $W_1$ is referred to as the queue length process. In this paper, we investigate the ruin probability and the ruin time of the risk process $R_{g}amma,gammain[0,1]$ over a surplus dependent time interval $[0,T_u]$.

Full work available at URL: https://arxiv.org/abs/1402.2628

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zbMATH Keywords

fractional Brownian motionruin probabilityruin timePickands constantPiterbarg constantrisk process\(\gamma\)-reflected processmaximum losses

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10)

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Cited In (11)

• The time of ultimate recovery in Gaussian risk model
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• Extremes of stationary Gaussian storage models
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Sample path properties of reflected Gaussian processes
• Approximation of the maximum of storage process with fractional Brownian motion as input
• On the maxima of suprema of dependent Gaussian models
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input
• On the speed of convergence of Piterbarg constants

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