Parisian ruin of the Brownian motion risk model with constant force of interest
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DOI: 10.1016/j.spl.2016.09.011
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References listed on IDEAS
- Hüsler, J. & Piterbarg, V., 1999. "Extremes of a certain class of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 257-271, October.
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Cited by:
- Peng, Xiaofan & Luo, Li, 2017. "Finite time Parisian ruin of an integrated Gaussian risk model," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 22-29.
- Krystecki, Konrad, 2022. "Parisian ruin probability for two-dimensional Brownian risk model," Statistics & Probability Letters, Elsevier, vol. 182(C).
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Keywords
Parisian ruin; Ruin probability; Ruin time; Brownian motion;All these keywords.
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