Gaussian risk models with financial constraints
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Publication:4576907
DOI10.1080/03461238.2013.850442zbMath1401.91130arXiv1309.7621OpenAlexW2000027640MaRDI QIDQ4576907
Lanpeng Ji, Krzysztof Dȩbicki, Enkelejd Hashorva
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7621
inflationinterestfinite-time ruin probabilityexponential approximationGaussian risk processconditional ruin time
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Related Items (12)
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 of self-similar Gaussian risk processes ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Extremes of Lp-norm of vector-valued Gaussian processes with trend ⋮ Approximation of sojourn times of Gaussian processes ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Finite time Parisian ruin of an integrated Gaussian risk model ⋮ On the \(\gamma\)-reflected processes with fBm input
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