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
Inspired by works of Landriault et al. [11, 12], we study the Gerber{Shiu distribution at Parisian r...
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negati...
Define a gamma-reflected process W (gamma)(t) = Y (H) (t) -aEuro parts per thousand gamma inf (s aaE...
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar G...
For a risk process R (u) (t) = u + ct - X(t), t a parts per thousand yen 0, where u a parts per thou...
In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian ri...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
In this short paper, we investigate a definition of Parisian ruin introduced in [3], namely Parisian...
Let B(t), t is an element of R be a standard Brownian motion. Define a risk process R-u(delta)(t) ...
This thesis investigates ruin probabilities and first passage times for self-similar processes. We p...
Define a gamma-reflected process W-gamma(t) = Y-H(t) - gamma inf(s is an element of[0,t]) Y-H(s), t ...
In this paper, we investigate Gaussian risk models which include financial elements, such as inflati...
In this contribution we are concerned with the asymptotic behaviour, as u→∞, of P{supt∈[0,T]Xu(t)>u}...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
Inspired by works of Landriault et al. [11, 12], we study the Gerber{Shiu distribution at Parisian r...
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negati...
Define a gamma-reflected process W (gamma)(t) = Y (H) (t) -aEuro parts per thousand gamma inf (s aaE...
In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar G...
For a risk process R (u) (t) = u + ct - X(t), t a parts per thousand yen 0, where u a parts per thou...
In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian ri...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
In this short paper, we investigate a definition of Parisian ruin introduced in [3], namely Parisian...
Let B(t), t is an element of R be a standard Brownian motion. Define a risk process R-u(delta)(t) ...
This thesis investigates ruin probabilities and first passage times for self-similar processes. We p...
Define a gamma-reflected process W-gamma(t) = Y-H(t) - gamma inf(s is an element of[0,t]) Y-H(s), t ...
In this paper, we investigate Gaussian risk models which include financial elements, such as inflati...
In this contribution we are concerned with the asymptotic behaviour, as u→∞, of P{supt∈[0,T]Xu(t)>u}...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
Inspired by works of Landriault et al. [11, 12], we study the Gerber{Shiu distribution at Parisian r...
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negati...
Define a gamma-reflected process W (gamma)(t) = Y (H) (t) -aEuro parts per thousand gamma inf (s aaE...
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