Ruin problem of a two-dimensional fractional Brownian motion risk process
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Publication:4639229
DOI10.1080/15326349.2017.1389284zbMath1386.60138OpenAlexW2793202993WikidataQ61307940 ScholiaQ61307940MaRDI QIDQ4639229
Publication date: 3 May 2018
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2017.1389284
asymptoticsfractional Brownian motionruin probabilityreinsuranceruin timetwo-dimensional risk process
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Related Items (7)
Pandemic-type failures in multivariate Brownian risk models ⋮ Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid ⋮ Running supremum of Brownian motion in dimension 2: exact and asymptotic results
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