Parisian ruin of self-similar Gaussian risk processes

Krzysztof Dȩbicki · Enkelejd Hashorva · Lanpeng Ji

34 citations0/0 files storedJournal of Applied Probability

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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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References

1997Modelling Extremal Events 2010Ruin Probabilities 1997Brownian Excursions and Parisian Barrier Options 1999Extremes of a certain class of Gaussian processes 2009Selfsimilar Processes 2007Large Deviations for Gaussian Queues 2002Ruin probability for Gaussian integrated processes 2013Parisian ruin probability for spectrally negative Lévy processes

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