Parisian ruin of self-similar Gaussian risk processes

  title={Parisian ruin of self-similar Gaussian risk processes},
  author={Krzysztof Dȩbicki and Enkelejd Hashorva and Lanpeng Ji},
  journal={Journal of Applied Probability},
  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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