Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
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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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.
Key concepts: Mathematics, Ruin theory, Risk model, First-hitting-time model, Gaussian, Applied mathematics, Calculus (dental), Statistics