Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2022
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| _version_ | 1866916087499587584 |
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| author | Ievlev, Pavel |
| author_facet | Ievlev, Pavel |
| contents | This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous result arXiv:1504.07061 to the case when the length of Parisian interval is of Pickands scale. As a primary application, we extend the recent result arXiv:2010.00222 on the many inputs proportional reinsurance fractional Brownian motion risk model to the Parisian ruin. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2205_14481 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance Ievlev, Pavel Probability 60G15, 60G70 This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous result arXiv:1504.07061 to the case when the length of Parisian interval is of Pickands scale. As a primary application, we extend the recent result arXiv:2010.00222 on the many inputs proportional reinsurance fractional Brownian motion risk model to the Parisian ruin. |
| title | Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance |
| topic | Probability 60G15, 60G70 |
| url | https://arxiv.org/abs/2205.14481 |