{"title":"Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance","authors":"Pavel Ievlev","doi":"10.1080/15326349.2023.2278527","DOIUrl":null,"url":null,"abstract":"This article investigates the Parisian ruin probability for a class of Gaussian processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptoti...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"71 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Models","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/15326349.2023.2278527","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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Abstract
This article investigates the Parisian ruin probability for a class of Gaussian processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptoti...
期刊介绍：
Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.
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