On first and last ruin times of Gaussian processes
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Publication:935830
DOI10.1016/j.spl.2007.11.028zbMath1145.60021OpenAlexW2006550932MaRDI QIDQ935830
Publication date: 8 August 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.028
Related Items (11)
Parisian ruin of self-similar Gaussian risk processes ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Extremes and First Passage Times of Correlated Fractional Brownian Motions ⋮ Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Gaussian risk models with financial constraints ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences ⋮ On the Distribution of the Last Exit Time over a Slowly Growing Linear Boundary for a Gaussian Process ⋮ On the \(\gamma\)-reflected processes with fBm input ⋮ The time of ultimate recovery in Gaussian risk model ⋮ A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process
Cites Work
- A remark on the moments of ruin time in classical risk theory
- Extreme values of portfolio of Gaussian processes and a trend
- The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
- The joint density function of three characteristics on jump-diffusion risk process.
- 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
- Extremes of Gaussian processes over an infinite horizon
- Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion
- On the moments of ruin and recovery times
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