Ruin problem of a two-dimensional fractional Brownian motion risk process
From MaRDI portal
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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Extremes of a class of nonhomogeneous Gaussian random fields
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
- Convolution equivalent Lévy processes and first passage times
- On asymptotic constants in the theory of extremes for Gaussian processes
- Extremes of vector-valued Gaussian processes: exact asymptotics
- A bivariate risk model with mutual deficit coverage
- Extremes of the time-average of stationary Gaussian processes
- A note on upper estimates for Pickands constants
- On the \(\gamma\)-reflected processes with fBm input
- A two-dimensional ruin problem on the positive quadrant
- A limit theorem for the time of ruin in a Gaussian ruin problem
- Self-similar processes in collective risk theory
- Non-life insurance mathematics. An introduction with stochastic processes.
- A note on transient Gaussian fluid models
- Extremes of a certain class of Gaussian processes
- On generalised Piterbarg constants
- Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
- On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
- Exact simulation of Brown-Resnick random fields at a finite number of locations
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Extremes of Gaussian processes over an infinite horizon
- Approximation of Passage Times of γ-Reflected Processes with FBM Input
- A Two-Dimensional Risk Model with Proportional Reinsurance
- Parisian ruin of self-similar Gaussian risk processes
- Exact overflow asymptotics for queues with many Gaussian inputs
- Gaussian risk models with financial constraints
- Remarks on Pickands theorem
- Uniform tail approximation of homogenous functionals of Gaussian fields
- Random Fields and Geometry
- Diffusion approximations in collective risk theory
- A note on linear estimation of the intensity in a doubly stochastic Poisson field
- Optimal Dividends
This page was built for publication: Ruin problem of a two-dimensional fractional Brownian motion risk process
