Finite-time ruin probability for correlated Brownian motions

DOI10.1080/03461238.2021.1902853MaRDI QIDQ5861813zbMATH OpenOpenAlexFDO

Authors Krzysztof Dȩbicki, Konrad Krystecki, Enkelejd Hashorva

Publication date 2 March 2022

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

Full work available at URL https://arxiv.org/abs/2004.14015

zbMATH Keywords

exact asymptoticsruin probabilitytwo-dimensional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Abstract: Let $(W_1(s),W_2(t)),s,tge0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $hoin(-1,1)$ and define the joint survival probability of both supremum functionals $p{i}_{h}o(c_1,c_2;u,v)$ by ${\displaystyle }$pi_ ho(c_1,c_2; u, v)=mathbb{P}left(sup_{s in [0,1]} left(W_1(s)-c_1s ight)>u,sup_{t in [0,1]} left(W_2(t)-c_2t ight)>v ight) ,${\displaystyle }$ where $c_1,c_{2}inmathbbR$ and $u,v$ are given positive constants. Approximation of $p{i}_{h}o(c_1,c_2;u,v)$ is of interest for the analysis of ruin probability in bivariate Brownian risk model as well as in the study of bivariate test statistics. In this contribution we derive tight bounds for $p{i}_{h}o(c_1,c_2;u,v)$ in the case $hoin(0,1)$ and obtain precise approximations by letting $uoinfty$ and taking $v=au$ for some fixed positive constant $a$ and $hoin(-1,1).$

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Cited in

(12)

• Occupation probability of a correlated random walk and a correlated ruin problem
• On the control of the difference between two Brownian motions: a dynamic copula approach
• Estimates of the exit probability for two correlated Brownian motions
• Ruin probability in a two-dimensional model with correlated Brownian motions
• Running supremum of Brownian motion in dimension 2: exact and asymptotic results
• Extrema of multi-dimensional Gaussian processes over random intervals
• Cumulative Parisian ruin probability for two-dimensional Brownian risk model
• Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
• Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
• Extremes of vector-valued locally additive Gaussian fields with application to double crossing probabilities
• A stochastic framework for ruin probabilities under time-changed Brownian motion
• Multidimensional Brownian risk models with random trend

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