A limit theorem for the time of ruin in a Gaussian ruin problem

Stochastic Processes and their Applications

Volumn 118, Issue 11, 2008, Pages 2014-2021

  Hüsler, Jürg ^a   Piterbarg, Vladimir ^b  

^a UNIVERSITY OF BERN   (Switzerland)

^b MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Asymptotic behavior; Gaussian process; Limit distributions; Locally stationary; Nonstationary; Ruin; Ruin time

Indexed keywords

ASYMPTOTIC BEHAVIOR; GAUSSIAN; GAUSSIAN PROCESS; GAUSSIAN PROCESSES; LIMIT DISTRIBUTIONS; LIMIT THEOREMS; LOCALLY STATIONARY; NONSTATIONARY; RUIN; RUIN TIME; TIME OF RUIN;

TRELLIS CODES;

EID: 53049086325     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.11.006     Document Type: Article

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