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most citedParisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance

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math.PR2022★ 2 cited

Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance

Pavel Ievlev

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…