Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid

DOI10.1007/S10986-021-09518-9zbMATH Open1475.60071arXiv2002.04928OpenAlexW3159573768MaRDI QIDQ2044293FDOQ2044293

Authors: Grigori Jasnovidov 

Publication date: 4 August 2021

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

Abstract: This paper derives the asymptotic behavior of the following ruin probability ${\displaystyle }$P{exists t in G(delta):B_H(t)-c_1t>q_1u,B_H(t)-c_2t>q_2u}, u ightarrow infty,${\displaystyle }$ where $B_H$ is a standard fractional Brownian motion, $c_1,q_1,c_2,q_2>0$ and $G(delta)$ denotes a regular grid $0,delta,2delta,\mathrm{...}$ for some $delta>0$. The approximation depends on $H$, $delta$ (only when $Hleq1/2$) and the relations between parameters $c_1,q_1,c_2,q_2$.

Full work available at URL: https://arxiv.org/abs/2002.04928

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zbMATH Keywords

fractional Brownian motiondiscrete modelsexact asymptoticssimultaneous ruin probabilitytwo-dimensional risk processes

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Upcrossing Probabilities for Stationary Gaussian Processes
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• On asymptotic constants in the theory of extremes for Gaussian processes
• Extremes of a certain class of Gaussian processes
• Parisian ruin of self-similar Gaussian risk processes
• A note on transient Gaussian fluid models
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• Queues and Lévy fluctuation theory
• Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
• Ruin problem of a two-dimensional fractional Brownian motion risk process

Cited In (5)

• On the ruin probability for physical fractional Brownian motion
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Extremes of reflecting Gaussian processes on discrete grid
• Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
• On the speed of convergence of Piterbarg constants

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