Ruin Probability for the Integrated Gaussian Process with Force of Interest

DOI10.1239/JAP/1189717538MaRDI QIDQ5440642zbMATH OpenOpenAlexFDO

Authors Xiaoxia He, Yijun Hu

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717538

Mathematics Subject Classification ID

Gaussian processes (60G15)

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• On the ruin probability for Gaussian integrated process disturbed by diffusion
• A problem on ruin with power losses for a stationary Gaussian process
• Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
• Finite-time ruin probability of aggregate Gaussian processes
• Finite time Parisian ruin of an integrated Gaussian risk model

Cites work

• Extremes of a certain class of Gaussian processes
• scientific article; zbMATH DE number 3826915 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1166284 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• On the ruin probability for physical fractional Brownian motion
• Ruin probability for Gaussian integrated processes.
• Ruin problems and dual events
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• The Ruin Problem for the Stationary Gaussian Process

Cited in

(10)

• Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
• Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets
• Finite-time ruin probability of aggregate Gaussian processes
• A problem on ruin with power losses for a stationary Gaussian process
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Gaussian risk models with financial constraints
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• On the ruin probability for Gaussian integrated process disturbed by diffusion
• Ruin theory problems in simple SDE models with large deviation asymptotics

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