Parisian ruin of self-similar Gaussian risk processes
From MaRDI portal
Publication:3449926
DOI10.1239/jap/1445543840zbMath1326.60042arXiv1405.2958OpenAlexW2245337991MaRDI QIDQ3449926
Krzysztof Dȩbicki, Lanpeng Ji, Enkelejd Hashorva
Publication date: 30 October 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.2958
fractional Brownian motionnormal approximationgeneralized Pickands' constantParisian ruin probabilityself-similar Gaussian risk processes
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Self-similar stochastic processes (60G18)
Related Items (20)
Extremes of threshold-dependent Gaussian processes ⋮ Parisian ruin over a finite-time horizon ⋮ Extremal behavior of hitting a cone by correlated Brownian motion with drift ⋮ Parisian ruin probability - the De Vylder type approximation ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Ruin probabilities for two collaborating insurance companies ⋮ Some mathematical aspects of price optimisation ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ On the maxima of suprema of dependent Gaussian models ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ Extremes of vector-valued Gaussian processes: exact asymptotics ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Finite time Parisian ruin of an integrated Gaussian risk model ⋮ Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid ⋮ 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 ⋮ A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convolution equivalent Lévy processes and first passage times
- On asymptotic constants in the theory of extremes for Gaussian processes
- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- An insurance risk model with Parisian implementation delays
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- On the infimum attained by the reflected fractional Brownian motion
- A new proof of an old result by Pickands
- Extremes of Gaussian processes with a smooth random variance
- A note on upper estimates for Pickands constants
- On first and last ruin times of Gaussian processes
- A limit theorem for the time of ruin in a Gaussian ruin problem
- Self-similar processes in collective risk theory
- Extremes of a certain class of Gaussian processes
- Ruin probability for Gaussian integrated processes.
- Parisian ruin probability for spectrally negative Lévy processes
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
- Piterbarg theorems for chi-processes with trend
- On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
- Extremes of Gaussian processes over an infinite horizon
- Approximation of Passage Times of γ-Reflected Processes with FBM Input
- Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Large Deviations for Gaussian Queues
- Brownian Excursions and Parisian Barrier Options
- Simulation of the Asymptotic Constant in Some Fluid Models
- Gaussian risk models with financial constraints
- Parisian ruin probability with a lower ultimate bankrupt barrier
- A note on first passage probabilities of a L\'evy process reflected at a general barrier
- Upcrossing Probabilities for Stationary Gaussian Processes
This page was built for publication: Parisian ruin of self-similar Gaussian risk processes
