## 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_{…