Simultaneous ruin probability for two-dimensional brownian risk model

被引：12

作者：

Debicki, Krzysztof ^{[1
]}

Hashorva, Enkelejd ^{[2
]}

Michna, Zbigniew ^{[3
]}

机构：

[1] Univ Wroclaw, Math Inst, Pl Grunwaldzki 2-4, PL-50384 Wroclaw, Poland

[2] Univ Lausanne, Dept Actuarial Sci, UNIL Dorigny, CH-1015 Lausanne, Switzerland

[3] Wroclaw Univ Econ & Business, Dept Logist, Komandorska 118-120, PL-53345 Wroclaw, Poland

来源：

JOURNAL OF APPLIED PROBABILITY | 2020年 / 57卷 / 02期

关键词：

two-dimensional Brownian risk model; Brownian motion; simultaneous ruin probability; simultaneous ruin time; ruin time approximation; APPROXIMATION; ASYMPTOTICS;

D O I：

10.1017/jpr.2020.14

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite time horizon. This is not the case for the simultaneous ruin probability in the two-dimensional Brownian risk model. Relying on asymptotic theory, we derive in this contribution approximations for both simultaneous ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.

引用

页码：597 / 612

页数：16

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