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

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• 作者：Jü ; rg Hü ; sler ; Vladimir Piterbarg
• 关键词：Gaussian process ; Nonstationary ; Locally stationary ; Ruin ; Ruin time ; Asymptotic behavior ; Limit distributions
• 刊名：Stochastic Processes and their Applications
• 出版年：2008
• 出版时间：November 2008
• 年：2008
• 卷：118
• 期：11
• 页码：2014-2021
• 全文大小：233 K

文摘

For certain Gaussian processes X(t) with trend −ct^β and variance V²(t), the ruin time is analyzed where the ruin time is defined as the first time point t such that X(t)−ct^β≥u. The ruin time is of interest in finance and actuarial subjects. But the ruin time is also of interest in other applications, e.g. in telecommunications where it indicates the first time of an overflow. We derive the asymptotic distribution of the ruin time as u→∞ showing that the limiting distribution depends on the parameters β, V(t) and the correlation function of X(t).