Ruin problem of a two-dimensional fractional Brownian motion risk process
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Cites work
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- scientific article; zbMATH DE number 193377 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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Cited in
(19)- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Pandemic-type failures in multivariate Brownian risk models
- Simultaneous ruin probability for two-dimensional Brownian risk model
- A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman-Kac formula, Laplace transform and its inversion
- Ruin probability of a special risk model
- scientific article; zbMATH DE number 4066073 (Why is no real title available?)
- A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
- Running supremum of Brownian motion in dimension 2: exact and asymptotic results
- Extrema of multi-dimensional Gaussian processes over random intervals
- On the cumulative parisian ruin of multi-dimensional Brownian motion risk models
- A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant
- Simultaneous ruin probability for multivariate Gaussian risk model
- On average losses in the ruin problem with fractional Brownian motion as input
- Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
- Two-dimensional Brownian motion with dependent components: turning angle analysis
- Two-dimensional Parisian ruin problem and evaluation of Pickands type constants
- On the speed of convergence of discrete Pickands constants to continuous ones
- Estimating finite-time ruin probability of surplus with long memory via Malliavin calculus
- A stochastic framework for ruin probabilities under time-changed Brownian motion
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