Parisian ruin over a finite-time horizon

DOI10.1007/s11425-015-5073-6zbMath1341.60024arXiv1504.07061OpenAlexW1920771862MaRDI QIDQ295101

Lanpeng Ji, Enkelejd Hashorva, Krzysztof Dȩbicki

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07061

zbMATH Keywords

fractional Brownian motionGaussian processrisk processLévy processtail asymptoticsParisian ruinstandard Brownian motiongeneralized Pickands constantgeneralized Piterbarg constant

Mathematics Subject Classification ID

Related Items (12)

Extremes of threshold-dependent Gaussian processes ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Extrema of a Gaussian random field: Berman's sojourn time method ⋮ Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Approximation of sojourn times of Gaussian processes ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ Finite time Parisian ruin of an integrated Gaussian risk model ⋮ Uniform tail approximation of homogenous functionals of Gaussian fields ⋮ Parisian ruin probability for two-dimensional Brownian risk model ⋮ The time of ultimate recovery in Gaussian risk model

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