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Parisian ruin over a finite-time horizon - MaRDI portal

Parisian ruin over a finite-time horizon (Q295101)

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Parisian ruin over a finite-time horizon
scientific article

    Statements

    title
    Parisian ruin over a finite-time horizon (English)
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    author
    Krzysztof Dȩbicki
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    Enkelejd Hashorva
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    Lanpeng Ji
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    publication date
    17 June 2016
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    zbMATH Keywords
    Parisian ruin
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    risk process
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    Gaussian process
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    Lévy process
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    fractional Brownian motion
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    standard Brownian motion
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    tail asymptotics
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    generalized Pickands constant
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    generalized Piterbarg constant
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    cites work
    Q4343010
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    Q4864754
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    Q5254866
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    Q4301585
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    Identifiers

    Mathematics Subject Classification ID
    60G15
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    60F99
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    60G51
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    60G22
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    60J65
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    60G70
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    91B30
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    zbMATH DE Number
    6594677
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    OpenAlex ID
    W1920771862
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    arXiv ID
    1504.07061
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