Proportional Parisian Reinsurance with many-fBm inputs

Consider the proportional reinsurance process with two (or more) companies sharing one risk process, modeled by large number of independent fractional Brownian motions. There are recent results on classical, joint and “at least one” ruin for this process, whereas the Parisian ruin seems to have not been studied before. In the talk I shall address the exact first order asymptotics in this case, which is motivated by a recent paper “Proportional reinsurance for fractional Brownian risk model” by Krzysztof Kępczyński.