Parisian ruin probability for two-dimensional Brownian risk model

DOI10.1016/j.spl.2021.109327zbMath1478.60112arXiv2106.13533OpenAlexW3176485042MaRDI QIDQ2070614

Konrad Krystecki

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.13533

zbMATH Keywords

extremesstationary random fieldsmultidimensional Brownian motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Actuarial mathematics (91G05)

Related Items (2)

Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Unnamed Item

Cites Work

• A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
• Parisian ruin over a finite-time horizon
• Parisian ruin of the Brownian motion risk model with constant force of interest
• Extremes of multidimensional Gaussian processes
• Parisian ruin probability for spectrally negative Lévy processes
• Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
• Queues and Lévy fluctuation theory
• Simultaneous ruin probability for two-dimensional brownian risk model
• Parisian ruin of self-similar Gaussian risk processes

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