Dębicki, K, Hashorva, E and Ji, L orcid.org/0000-0002-7790-7765 (2015) Parisian ruin of self-similar Gaussian risk processes. Journal of Applied Probability, 52 (03). pp. 688-702. ISSN 0021-9002
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.
Metadata
Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2015, Applied Probability Trust. This is an author produced version of an article published in Journal of Applied Probability. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Parisian ruin time; Parisian ruin probability; self-similar Gaussian process; fractional Brownian motion; normal approximation; generalized Pickands' constant |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 26 Jun 2019 14:42 |
Last Modified: | 27 Jun 2019 21:33 |
Status: | Published |
Publisher: | Cambridge University Press |
Identification Number: | https://doi.org/10.1239/jap/1445543840 |