最优点附近功率不对称方差的巴黎损失及其多输入比例再保险应用

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2023-11-20 DOI:10.1080/15326349.2023.2278527

Pavel Ievlev

引用次数: 0

摘要

本文研究了一类高斯过程在唯一最优点附近的方差具有幂不对称行为的巴黎毁灭概率。我们推导出确切的渐近线。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

This article investigates the Parisian ruin probability for a class of Gaussian processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptoti...

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.