Parisian ruin of Gaussian processes with random premium income

Informa UK Limited

Goran Popivoda

Preuzmite dokument

2025

Informa UK Limited

Parisian ruin of Gaussian processes with random premium income

Preuzmite dokument 2025 Goran Popivoda

National Library of Serbia

On the tail asymptotics of supremum of stationary χ-processes with random trend

Let ?n(t), t ? 0, be a chi-process with n degrees of freedom. We derive the asymptotic exact result for P(sup t? [0,T] (?n(t) + ?(t)) > u), as u ? ?, where ?(t) is a certain random process independent of ?n(t) and T > 0 is a constant.

Preuzmite dokument 2020 Sinisa Stamatovic , Goran Popivoda