On the cumulative parisian ruin of multi-dimensional Brownian motion risk models

DOI10.1080/03461238.2020.1758762MaRDI QIDQ5140652zbMATH OpenOpenAlexFDO

Authors Lanpeng Ji

Publication date 16 December 2020

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.10110

zbMATH Keywords

cumulative Parisian ruinexact asymptoticsmulti-dimensional Brownian motionquadratic programming problemruin probability

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Abstract: Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial capital tends to infinity. An asymptotic distribution for the conditional cumulative Parisian ruin time is also derived. The obtained results on the cumulative Parisian ruin can be seen as generalizations of some of the results derived in Debicki et al (2018, Stochastic Processes and Their Applications). As a particular interesting case, the two-dimensional Brownian motion risk model is discussed in detail.

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Cited in

(11)

• Parisian ruin probability for two-dimensional Brownian risk model
• Pandemic-type failures in multivariate Brownian risk models
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
• Parisian \& cumulative Parisian ruin probability for two-dimensional Brownian risk model
• scientific article; zbMATH DE number 7662453 (Why is no real title available?)
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Cumulative Parisian ruin probability for two-dimensional Brownian risk model
• On the joint survival probability of two collaborating firms
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Parisian ruin of Gaussian processes with random premium income
• Two-dimensional Parisian ruin problem and evaluation of Pickands type constants

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