2 papers
math.PR2016
Parisian Ruin Probability Of An Integrated Gaussian Risk Model
Xiaofan Peng, Li Luo
In this paper we investigate the Parisian ruin probability for an integrated Gaussian process. Under certain assumptions, we find the Parisian ruin probability and the classical ru…
math.PR2016
Parisian Ruin of the Brownian Motion Risk Model with Constant Force of Interest
Long Bai, Li Luo
Let be a standard Brownian motion. Define a risk process \label{Rudef} R_u^δ(t)=e^{δt}\left(u+c\int^{t}_{0}e^{-δs}d s-σ\int_{0}^{t}e^{-δs}d B(s)\right), t\g…