Finite time Parisian ruin of an integrated Gaussian risk model

被引：1

作者：

Peng, Xiaofan ^{[1
]}

Luo, Li ^{[2
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 610054, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 124卷

基金：

中国国家自然科学基金;

关键词：

Integrated Gaussian process; Parisian ruin; Method of moments; Exact asymptotics; PROBABILITY;

D O I：

10.1016/j.spl.2016.12.019

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian risk process. Under certain assumptions, we find that the Parisian ruin probability and the classical ruin probability are on the log-scale asymptotically the same. Moreover, if the time length required by the Parisian ruin tends to zero as the initial reserve goes to infinity, the Parisian ruin probability and the classical one are the same also in the precise asymptotic behavior. Furthermore, we derive an approximation for the scaled conditional ruin time. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：22 / 29

页数：8

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