Extreme values of a portfolio of Gaussian processes and a trend

被引：0
|
作者：
Hüsler J. [1 ]
Schmid C.M. [1 ]
机构：
[1] Institut für Mathematische Statistik und Versicherungslehre, Universität Bern, 3012 Bern
来源：
Extremes | 2005年 / 8卷 / 3期
关键词：
Extreme values; Gaussian processes; Large deviations; Portfolio of assets; Ruin probability; Tail behavior;
D O I：
10.1007/s10687-006-7966-9
中图分类号：
学科分类号：
摘要：
We consider the extreme values of a portfolio of independent continuous Gaussian processes ∑i=1k wiXi(t) (wi∈ ℝ, k ∈ ℕ) which are asymptotically locally stationary, with expectations E[Xi(t)] = 0 and variances Var[X i(t)] = dit2Hi (di ∈ ℝ+, 0 < Hi < 1), and a trend -ct β for some constants β, c > 0 with β > H i. We derive the probability P{supt>0 ∑i=1k wiXi(t) - ctβ > u} for u → ∞, which may be interpreted as ruin probability. © Springer Science + Business Media, LLC 2006.
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页码：171 / 189
页数：18
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