Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
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Publication:6596379
DOI10.1080/15326349.2023.2278527zbMATH Open1544.6004MaRDI QIDQ6596379
Publication date: 2 September 2024
Published in: Stochastic Models (Search for Journal in Brave)
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)
Cites Work
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- Parisian ruin over a finite-time horizon
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- Parisian ruin probability for two-dimensional Brownian risk model
- Extremes of vector-valued Gaussian processes
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- Parisian ruin of self-similar Gaussian risk processes
- Brownian Excursions and Parisian Barrier Options
- Discrete time ruin probability with Parisian delay
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model
- Approximation of ruin probability and ruin time in discrete Brownian risk models
- Uniform tail approximation of homogenous functionals of Gaussian fields
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