Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model

@article{Kriukov2021ParisianC,
  title={Parisian \& cumulative Parisian ruin probability for two-dimensional Brownian risk model},
  author={Nikolai Kriukov},
  journal={Stochastics},
  year={2021},
  volume={94},
  pages={629 - 645}
}
  • N. Kriukov
  • Published 25 January 2020
  • Mathematics
  • Stochastics
Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution the asymptotic approximations of both Parisian and cumulative Parisian ruin probabilities and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity. 

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