论文标题
在最佳点附近的功率 - 对称方差的巴黎废墟，适用于许多输入比例再保险
Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
论文作者
论文摘要
本文研究了在独特的最佳点附近的方差的功率 - 对称行为的过程中的巴黎破坏概率。我们得出确切的渐近学，因为废墟边界倾向于无穷大，并将先前的结果arxiv：1504.07061扩展到巴黎间隔的长度为挑剔和量表的情况下。作为主要应用程序，我们将最近的结果Arxiv：2010.00222扩展到许多输入比例再保险分数布朗运动风险模型到巴黎的毁灭。
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 the ruin boundary tends to infinity and extend the previous result arXiv:1504.07061 to the case when the length of Parisian interval is of Pickands scale. As a primary application, we extend the recent result arXiv:2010.00222 on the many inputs proportional reinsurance fractional Brownian motion risk model to the Parisian ruin.
