{
  "id": "2205.14481",
  "version": "v1",
  "published": "2022-05-28T16:50:34.000Z",
  "updated": "2022-05-28T16:50:34.000Z",
  "title": "Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance",
  "authors": [
    "Pavel Ievlev"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous result arXiv:1504.07061 to the case when the length of Parisian interval is of Pickands scale. As a primary application, we extend the recent result arXiv:2010.00222 on the many inputs proportional reinsurance fractional Brownian motion risk model to the Parisian ruin.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2022-05-28T16:50:34.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G15",
      "60G70"
    ],
    "keywords": [
      "parisian ruin",
      "many-inputs proportional reinsurance",
      "optimal point",
      "proportional reinsurance fractional brownian",
      "reinsurance fractional brownian motion"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}