Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model

DOI10.1080/17442508.2021.1980567zbMath1495.60016arXiv2001.09302OpenAlexW3206176614MaRDI QIDQ5080074

Nikolai Kriukov

Publication date: 31 May 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.09302

zbMATH Keywords

Brownian motionsimultaneous ruin probabilityBrownian risk modelruin time approximationsimultaneous ruin time

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

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Uses Software

• GAUSSIAN

Cites Work

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• Parisian ruin over a finite-time horizon
• Parisian ruin probability for spectrally negative Lévy processes
• Sojourn times of Gaussian processes with trend
• Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
• Simultaneous ruin probability for two-dimensional brownian risk model
• Parisian ruin of self-similar Gaussian risk processes

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