Simultaneous ruin probability for two-dimensional brownian risk model
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Publication:3299453
DOI10.1017/jpr.2020.14zbMath1464.60031arXiv1811.04470OpenAlexW3043479488MaRDI QIDQ3299453
Zbigniew Michna, Krzysztof Dȩbicki, Enkelejd Hashorva
Publication date: 22 July 2020
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.04470
Brownian motionsimultaneous ruin probabilityruin time approximationsimultaneous ruin timetwo-dimensional Brownian risk model
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Risk models (general) (91B05)
Related Items (12)
Pandemic-type failures in multivariate Brownian risk models ⋮ Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Ruin probabilities for two collaborating insurance companies ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ Extremes of vector-valued Gaussian processes ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion ⋮ Parisian ruin probability for two-dimensional Brownian risk model ⋮ Finite-time ruin probability for correlated Brownian motions ⋮ Running supremum of Brownian motion in dimension 2: exact and asymptotic results
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