Parisian Ruin of Self-similar Gaussian Risk Processes
Krzysztof D\c{e}bicki, Enkelejd Hashorva, Lanpeng Ji
TL;DR
This paper derives the precise asymptotic probabilities of Parisian ruin for self-similar Gaussian risk processes, providing insights into ruin times and their relation to classical ruin, with implications for risk modeling.
Contribution
It introduces exact asymptotics for Parisian ruin probabilities and links Parisian and classical ruin times for self-similar Gaussian processes.
Findings
Exact asymptotics of Parisian ruin probability derived
Normal approximation for Parisian ruin time obtained
Asymptotic relation between Parisian and classical ruin times established
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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Taxonomy
TopicsProbability and Risk Models · Insurance, Mortality, Demography, Risk Management · Financial Risk and Volatility Modeling