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Parisian Ruin of Self-similar Gaussian Risk Processes

Published 12 May 2014 in math.PR | (1405.2958v1)

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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