Finite time Parisian ruin of an integrated Gaussian risk model

DOI10.1016/J.SPL.2016.12.019zbMath1356.60061OpenAlexW2570556353MaRDI QIDQ512787

Xiaofan Peng, Li Luo

Publication date: 28 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.12.019

zbMATH Keywords

method of momentsParisian ruinexact asymptoticsintegrated Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Parisian Ruin Probability Of An Integrated Gaussian Risk Model

Cites Work

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• Parisian ruin over a finite-time horizon
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Extremes and related properties of random sequences and processes
• Parisian ruin probability for spectrally negative Lévy processes
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• Parisian ruin of self-similar Gaussian risk processes
• Gaussian risk models with financial constraints
• The Ruin Problem for the Stationary Gaussian Process

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