Pandemic-type failures in multivariate Brownian risk models
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Publication:2121639
DOI10.1007/s10687-021-00424-4zbMath1496.91039arXiv2008.07480OpenAlexW3200735360MaRDI QIDQ2121639
Enkelejd Hashorva, Krzysztof Dȩbicki, Nikolai Kriukov
Publication date: 4 April 2022
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.07480
failure timeexact asymptoticssimultaneous ruin probabilitymultivariate Brownian risk modelpandemic-type eventsprobability of multiple simultaneous failures
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Risk models (general) (91B05)
Related Items (3)
Simultaneous ruin probability for multivariate Gaussian risk model ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Uniform bounds for ruin probability in multidimensional risk model
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Cites Work
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