Extreme values of portfolio of Gaussian processes and a trend

DOI10.1007/s10687-006-7966-9zbMath1118.60027OpenAlexW2041512654MaRDI QIDQ881407

Christoph M. Schmid, Juerg Hüsler

Publication date: 29 May 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-7966-9

zbMATH Keywords

extreme valuesGaussian processestail behaviorlarge deviationsruin probabilityportfolio of assets

Mathematics Subject Classification ID

Related Items (5)

Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ On average losses in the ruin problem with fractional Brownian motion as input ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ Asymptotic behavior of the maximum from distributions subject to trends in location and scale ⋮ On first and last ruin times of Gaussian processes

Cites Work

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• Extremes of a certain class of Gaussian processes
• Ruin probability for Gaussian integrated processes.
• Limit theorem for maximum of the storage process with fractional Brownian motion as input

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