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Parisian ruin of self-similar Gaussian risk processes

  • Krzysztof Dębicki (a1), Enkelejd Hashorva (a2) and Lanpeng Ji (a2)
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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Corresponding author
Postal address: Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland.
∗∗ Postal address: University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland.
∗∗∗ Email address: jilanpeng@126.com
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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