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Parisian ruin of self-similar Gaussian risk processes

  • Krzysztof Dębicki (a1), Enkelejd Hashorva (a2) and Lanpeng Ji (a2)

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.

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:
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