{
  "id": "1405.2958",
  "version": "v1",
  "published": "2014-05-12T20:54:13.000Z",
  "updated": "2014-05-12T20:54:13.000Z",
  "title": "Parisian Ruin of Self-similar Gaussian Risk Processes",
  "authors": [
    "Krzysztof Dȩbicki",
    "Enkelejd Hashorva",
    "Lanpeng Ji"
  ],
  "comment": "14 pages",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-05-12T20:54:13.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G15",
      "60G70"
    ],
    "keywords": [
      "self-similar gaussian risk processes",
      "parisian ruin time",
      "exact asymptotics",
      "normal approximation",
      "asymptotic relation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1405.2958D"
    }
  }
}