Extremal behavior of hitting a cone by correlated Brownian motion with drift

@article{Dbicki2018ExtremalBO,
  title={Extremal behavior of hitting a cone by correlated Brownian motion with drift},
  author={Krzysztof Dȩbicki and Enkelejd Hashorva and Lanpeng Ji and Tomasz Rolski},
  journal={Stochastic Processes and their Applications},
  year={2018}
}

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

  • L. Ji
  • Mathematics
    Scandinavian Actuarial Journal
  • 2020
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

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