Uniform bounds for ruin probability in multidimensional risk model

DOI10.1016/j.spl.2022.109622zbMath1498.60142arXiv2205.06923OpenAlexW4286435923WikidataQ114130439 ScholiaQ114130439MaRDI QIDQ2081756

Nikolai Kriukov

Publication date: 30 September 2022

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

Full work available at URL: https://arxiv.org/abs/2205.06923

zbMATH Keywords

Brownian motionuniform boundssimultaneous ruin probabilityBrownian risk model

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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• Pandemic-type failures in multivariate Brownian risk models
• Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• On the continuity of Pickands constants

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