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

DOI10.1080/03461238.2020.1758762zbMATH Open1454.91196arXiv1811.10110OpenAlexW2900630447MaRDI QIDQ5140652FDOQ5140652

Authors: Lanpeng Ji 

Publication date: 16 December 2020

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

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.

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

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zbMATH Keywords

ruin probabilityquadratic programming problemexact asymptoticscumulative Parisian ruinmulti-dimensional Brownian motion

Mathematics Subject Classification ID

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

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Cited In (9)

• Pandemic-type failures in multivariate Brownian risk models
• Parisian \& cumulative Parisian ruin probability for two-dimensional Brownian risk model
• Title not available (Why is that?)
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
• Cumulative Parisian ruin probability for two-dimensional Brownian risk model
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• On the joint survival probability of two collaborating firms
• Parisian ruin probability for two-dimensional Brownian risk model

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