References
SHOWING 1-7 OF 7 REFERENCES
Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model
- MathematicsStochastics
- 2021
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…
Finite-time ruin probability for correlated Brownian motions
- MathematicsScandinavian Actuarial Journal
- 2020
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…
Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment
- MathematicsMethodology and Computing in Applied Probability
- 2019
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common…
Pandemic-type failures in multivariate Brownian risk models
- MathematicsExtremes
- 2022
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…
Tail asymptotics for Shepp-statistics of Brownian motion in $\mathbb {R}^{d}$
- MathematicsExtremes
- 2019
Let X(t), \(t\in \mathbb {R}\), be a d-dimensional vector-valued Brownian motion, d ≥ 1. For all \(\boldsymbol {b}\in \mathbb {R}^{d}\setminus (-\infty ,0]^{d}\) we derive exact asymptotics of
$$…
On the continuity of Pickands constants
- MathematicsJournal of Applied Probability
- 2022
Abstract For a non-negative separable random field Z(t),
$t\in \mathbb{R}^d$
, satisfying some mild assumptions, we show that
$ H_Z^\delta =\lim_{{T} \to \infty} ({1}/{T^d}) \mathbb{E}\{{\sup_{…