Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
Published 2014-05-12Version 1
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.
Exact asymptotics of supremum of a stationary Gaussian process over a random interval
The Method of Cumulants for the Normal Approximation
$L^1$ bounds in normal approximation
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