Multidimensional Brownian risk models with random trend

DOI10.1007/S10986-026-09724-3MaRDI QIDQ7389360zbMATH OpenFDO

Authors Goran Popivoda, Timofeĭ Yur'Evich Shashkov

Publication date 2026

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10986-026-09724-3

Mathematics Subject Classification ID

Brownian motion (60J65) Actuarial mathematics (91G05)

Cites work

• An explicit expression for the distribution of the supremum of brownian motion with a change point
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• Cumulative Parisian ruin probability for two-dimensional Brownian risk model
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Extremes of vector-valued Gaussian processes
• Finite-time ruin probability for correlated Brownian motions
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Pandemic-type failures in multivariate Brownian risk models
• Parisian \& cumulative Parisian ruin probability for two-dimensional Brownian risk model
• Parisian ruin probability for two-dimensional Brownian risk model
• Queues and Lévy fluctuation theory
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Simultaneous ruin probability for multivariate Gaussian risk model
• Simultaneous ruin probability for two-dimensional Brownian risk model
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• Twenty lectures about Gaussian processes

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