On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

DOI10.1080/03461238.2020.1758762zbMath1454.91196arXiv1811.10110OpenAlexW2900630447MaRDI QIDQ5140652

Lanpeng Ji

Publication date: 16 December 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.10110

zbMATH Keywords

ruin probabilityquadratic programming problemexact asymptoticscumulative Parisian ruinmulti-dimensional Brownian motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Related Items (3)

Pandemic-type failures in multivariate Brownian risk models ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Unnamed Item

Cites Work

• Sojourns and extremes of stationary processes
• Sojourns and extremes of Gaussian processes
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• On the distribution of cumulative Parisian ruin
• Asymptotics and bounds for multivariate Gaussian tails
• Approximation of sojourn times of Gaussian processes
• Simultaneous ruin probability for two-dimensional brownian risk model
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
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• Unnamed Item

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