Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2011), pp. 3-11
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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/
@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},
year = {2011},
number = {4},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a0/}
}
TY - JOUR
AU - S. G. Kobel'kov
TI - Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
JO - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY - 2011
SP - 3
EP - 11
IS - 4
UR - http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a0/
LA - ru
ID - VMUMM_2011_4_a0
ER -
%0 Journal Article
%A S. G. Kobel'kov
%T Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2011
%P 3-11
%N 4
%U http://geodesic.mathdoc.fr/item/VMUMM_2011_4_a0/
%G ru
%F VMUMM_2011_4_a0
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.
