Finite-time ruin probability for correlated Brownian motions
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Publication:5861813
DOI10.1080/03461238.2021.1902853zbMath1487.60075arXiv2004.14015OpenAlexW3155375794MaRDI QIDQ5861813
Krzysztof Dȩbicki, Konrad Krystecki, Enkelejd Hashorva
Publication date: 2 March 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.14015
Related Items (3)
Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Running supremum of Brownian motion in dimension 2: exact and asymptotic results
Cites Work
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- Queues and Lévy fluctuation theory
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- Double Lookbacks
- First-passage times of two-dimensional Brownian motion
- Simultaneous ruin probability for two-dimensional brownian risk model
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