# Pandemic-type failures in multivariate Brownian risk models

@article{Dbicki2020PandemictypeFI, title={Pandemic-type failures in multivariate Brownian risk models}, author={Krzysztof Dȩbicki and Enkelejd Hashorva and Nikolai Kriukov}, journal={Extremes}, year={2020}, volume={25}, 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…

## 3 Citations

### Uniform bounds for ruin probability in multidimensional risk model

- MathematicsStatistics & Probability Letters
- 2022

### Extrema of multi-dimensional Gaussian processes over random intervals

- MathematicsJournal of Applied Probability
- 2022

The structure of the asymptotics of P(u) is determined by the signs of the drifts $c_i$'s, a relevant multi-dimensional regenerative model and the corresponding ruin probability are derived.

### Simultaneous ruin probability for multivariate gaussian risk model

- Mathematics
- 2021

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)…

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