Simultaneous ruin probability for multivariate Gaussian risk model

Abstract: Let

e x t b f Z (t) = (Z_{1} (t), l d o t s, Z_{d} (t))^{o} p, t i n m a t h b b R

where

Z_{i} (t), t i n m a t h b b R

,

i = 1, ..., d

are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For

e x t b f X (t) = A e x t b f Z (t), t i n m a t h b b R

, where

A

is a nonsingular

d i m e s d

real-valued matrix,

e x t b f u, e x t b f c i n m a t h b b R^{d}

and

T > 0

we derive tight bounds for [ mathbb{P}left{exists_{tin [0,T]}: cap_{i=1}^d { X_i(t)- c_i t > u_i} ight} ] and find exact asymptotics as

(u_{1}, ..., u_{d})^{o p} = (u a_{1}, ..., u a_{d})^{o} p

and

u o i n f t y

.

Recommendations

Cites work

Cited in

(9)

This page was built for publication: Simultaneous ruin probability for multivariate Gaussian risk model