Parisian Ruin of Self-similar Gaussian Risk Processes

Krzysztof Dȩbicki; Enkelejd Hashorva; Lanpeng Ji

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arXiv · 1405.2958

Parisian Ruin of Self-similar Gaussian Risk Processes

Krzysztof Dȩbicki·Enkelejd Hashorva·Lanpeng Ji

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Abstract

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between the Parisian and the classical ruin times.

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Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji. 2014-05-12. Parisian Ruin of Self-similar Gaussian Risk Processes. https://arxiv.org/abs/1405.2958

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