𝔖 Bobbio Scriptorium
✦   LIBER   ✦

092015 (M10, E50, M13) Ruin functions for gaussian risk process : Roslki T., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Book ID
104299681
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
92 KB
Volume
20
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

The authors study the asymptotics of P(A(X,c)>x) for x--~oo, where A(X,c) is the supremum of X(t)-c. In particular X(t) is the fractional Brownian motion, a nonlinearly scaled Brownian motion or some stationary integrated Gaussian processes. The results are from the joint work with K. Debicki and Z. Michna.

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