|
Limit Theorem for the Moment of Ruin for Integrated Gaussian Stationary Process with Power Function as Profit / Kobelkov S.G. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2011. № 4. P. 3-11 [Moscow Univ. Math. Bulletin. Vol. 66, N 4, 2011.]. The asymptotic distribution of the moment of ruin is obtained for the ruin problem with the loss rate in the form of a Gaussian stationary process and a power function as profit. Mean losses are found in the case of ruin.
Key words: Gaussian process, Rice method, ruin probability, moment of ruin, mean losses.
|