A limit theorem for the time of ruin in a Gaussian ruin problem
From MaRDI portal
Publication:952737
DOI10.1016/j.spa.2007.11.006zbMath1151.60313OpenAlexW2039402371MaRDI QIDQ952737
Vladimir I. Piterbarg, Juerg Hüsler
Publication date: 14 November 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.11.006
Related Items
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, Extremes of vector-valued Gaussian processes with trend, Extremes and First Passage Times of Correlated Fractional Brownian Motions, Parisian ruin of the Brownian motion risk model with constant force of interest, Approximation of Passage Times of γ-Reflected Processes with FBM Input, Gaussian risk models with financial constraints, Extremes ofγ-reflected Gaussian processes with stationary increments, Long strange segments, ruin probabilities and the effect of memory on moving average processes, Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon, On the maxima of suprema of dependent Gaussian models, On average losses in the ruin problem with fractional Brownian motion as input, Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend, The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences, Sojourn times of Gaussian processes with trend, Approximation of ruin probability and ruin time in discrete Brownian risk models, Ruin problem of a two-dimensional fractional Brownian motion risk process, Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit, On the \(\gamma\)-reflected processes with fBm input, The time of ultimate recovery in Gaussian risk model, Conditional limit theorems for regulated fractional Brownian motion, A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process
Cites Work
- Unnamed Item
- Unnamed Item
- A remark on the moments of ruin time in classical risk theory
- Cube root asymptotics
- Extremes and related properties of random sequences and processes
- The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
- The joint density function of three characteristics on jump-diffusion risk process.
- Extremes of a certain class of Gaussian processes
- Extremes of Gaussian processes over an infinite horizon
- Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion
- On the moments of ruin and recovery times
