Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
Year of publication: |
2019
|
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Authors: | Dębicki, Krzysztof ; Ji, Lanpeng ; Rolski, Tomasz |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 7.2019, 3/83, p. 1-21
|
Subject: | adjustment coefficient | logarithmic asymptotics | quadratic programming problem | ruin probability | two-dimensional Brownian motion | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks7030083 [DOI] hdl:10419/257921 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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