Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
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Publication:6505973
DOI10.1080/15326349.2023.2278527arXiv2205.14481MaRDI QIDQ6505973
Abstract: This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous result arXiv:1504.07061 to the case when the length of Parisian interval is of Pickands scale. As a primary application, we extend the recent result arXiv:2010.00222 on the many inputs proportional reinsurance fractional Brownian motion risk model to the Parisian ruin.
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