Geodesic
Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2011), pp. 3-11

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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. 
@article{VMUMM_2011_4_a0,
     author = {S. G. Kobel'kov},
     title = {Limit theorem for the moment of ruin for integrated {Gaussian} stationary process with power function as profit},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {3--11},
     publisher = {mathdoc},
     number = {4},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a0/}
}
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S. G. Kobel'kov. Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2011), pp. 3-11. http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a0/