The Ruin Problem for the Stationary Gaussian Process

DOI10.1137/S0040585X97980932MaRDI QIDQ5700624zbMATH OpenOpenAlexFDO

Authors Sergey G. Kobelkov

Publication date 28 October 2005

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97980932

zbMATH Keywords

Rice methodruin probability

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Stochastic models in economics (91B70)

Cited in

(5)

• On asymptotic constants in the theory of extremes for Gaussian processes
• Gaussian risk models with financial constraints
• Finite time Parisian ruin of an integrated Gaussian risk model
• Ruin Probability for the Integrated Gaussian Process with Force of Interest
• Ruin theory problems in simple SDE models with large deviation asymptotics

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