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- W2767939113 abstract "For a given centered Gaussian process with stationary increments ${X(t), tgeq 0}$ and $c>0$, let $$ W_gamma(t)=X(t)-ct-gammainf_{0leq sleq t}left(X(s)-csright), quad tgeq 0$$ denote the $gamma$-reflected process, where $gammain (0,1)$. This process is introduced in the context of risk theory to model surplus process that include tax payments of loss-carry forward this http URL this contribution we derive asymptotic approximations of both the ruin probability and the joint distribution of first and last passage times given that ruin occurs. We apply our findings to the cases with $X$ being the multiplex fractional Brownian motion and the integrated Gaussian processes. As a by-product we derive an extension of Piterbarg inequality KD{for} threshold-dependent random fields." @default.
- W2767939113 created "2017-11-17" @default.
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- W2767939113 date "2015-11-30" @default.
- W2767939113 modified "2023-10-18" @default.
- W2767939113 title "Extremes of $gamma$-reflected Gaussian process with stationary increments" @default.
- W2767939113 hasPublicationYear "2015" @default.
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