Add to ORKGIn 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
A self-similar, continuous process with stationary increments is considered as an approximation to t...
International audienceWe study the asymptotic of the ruin probability for a process which is the sol...
AbstractFor certain Gaussian processes X(t) with trend −ctβ and variance V2(t), the ruin time is ana...
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 extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian ri...
In this short paper, we investigate a definition of Parisian ruin introduced in [3], namely Parisian...
This thesis investigates ruin probabilities and first passage times for self-similar processes. We p...
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negati...
Let B(t), t is an element of R be a standard Brownian motion. Define a risk process R-u(delta)(t) ...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
Define a gamma-reflected process W-gamma(t) = Y-H(t) - gamma inf(s is an element of[0,t]) Y-H(s), t ...
Define a gamma-reflected process W (gamma)(t) = Y (H) (t) -aEuro parts per thousand gamma inf (s aaE...
A self-similar, continuous process with stationary increments is considered as an approximation to t...
International audienceWe study the asymptotic of the ruin probability for a process which is the sol...
AbstractFor certain Gaussian processes X(t) with trend −ctβ and variance V2(t), the ruin time is ana...
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 extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian ri...
In this short paper, we investigate a definition of Parisian ruin introduced in [3], namely Parisian...
This thesis investigates ruin probabilities and first passage times for self-similar processes. We p...
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negati...
Let B(t), t is an element of R be a standard Brownian motion. Define a risk process R-u(delta)(t) ...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
Define a gamma-reflected process W-gamma(t) = Y-H(t) - gamma inf(s is an element of[0,t]) Y-H(s), t ...
Define a gamma-reflected process W (gamma)(t) = Y (H) (t) -aEuro parts per thousand gamma inf (s aaE...
A self-similar, continuous process with stationary increments is considered as an approximation to t...
International audienceWe study the asymptotic of the ruin probability for a process which is the sol...
AbstractFor certain Gaussian processes X(t) with trend −ctβ and variance V2(t), the ruin time is ana...