# Parisian ruin of self-similar Gaussian risk processes

@article{Dbicki2015ParisianRO, title={Parisian ruin of self-similar Gaussian risk processes}, author={Krzysztof Dȩbicki and Enkelejd Hashorva and Lanpeng Ji}, journal={Journal of Applied Probability}, year={2015}, volume={52}, pages={688 - 702} }

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between the Parisian and the classical ruin times.

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