Finite-time ruin probability for correlated Brownian motions

  title={Finite-time ruin probability for correlated Brownian motions},
  author={Krzysztof Dȩbicki and Enkelejd Hashorva and Konrad Krystecki},
  journal={Scandinavian Actuarial Journal},
  pages={890 - 915}
Let be a two-dimensional Gaussian process with standard Brownian motion marginals and constant correlation . Define the joint survival probability of both supremum functionals by where and u, v are given positive constants. Approximation of is of interest for the analysis of ruin probability in bivariate Brownian risk model, as well as in the study of the power of bivariate test statistics. In this contribution, we derive tight bounds for in the case and obtain precise approximations for all by… 

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