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- W2964126212 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 type.In 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.
- W2964126212 created "2019-07-30" @default.
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- W2964126212 date "2017-01-01" @default.
- W2964126212 modified "2023-10-18" @default.
- W2964126212 title "Extremes of<i>γ</i>-reflected Gaussian processes with stationary increments" @default.
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- W2964126212 doi "https://doi.org/10.1051/ps/2017019" @default.
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