Extreme values of portfolio of Gaussian processes and a trend
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Publication:881407
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
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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
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