Pandemic-type failures in multivariate Brownian risk models

  title={Pandemic-type failures in multivariate Brownian risk models},
  author={Krzysztof Dȩbicki and Enkelejd Hashorva and Nikolai Kriukov},
  pages={1 - 23}
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A benchmark limiting model for the analysis of multiple failures is the classical d -dimensional Brownian risk model (Brm), see Delsing et al. (Methodol. Comput. Appl. Probab. 22 (3), 927–948 2020 ). From both theoretical and practical point of view, of interest is the calculation of the probability of multiple… 

Uniform bounds for ruin probability in multidimensional risk model

  • N. Kriukov
  • Mathematics
    Statistics & Probability Letters
  • 2022

Extrema of multi-dimensional Gaussian processes over random intervals

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Let Z(t) = (Z1(t), . . . , Zd(t)) ⊤, t ∈ R where Zi(t), t ∈ R, i = 1, ..., d are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For X(t)



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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