4 research outputs found
Parisian ruin over a finite-time horizon
For a risk process , where is the initial
capital, is the premium rate and is an aggregate claim
process, we investigate the probability of the Parisian ruin with a given positive constant and a positive measurable
function . We derive asymptotic expansion of , as
, for the aggregate claim process modeled by Gaussian
processes. As a by-product, we derive the exact tail asymptotics of the infimum
of a standard Brownian motion with drift over a finite-time interval.Comment: 2