On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models
Year of publication: |
2020
|
---|---|
Authors: | Ji, Lanpeng |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2020.2020, 9, p. 819-842
|
Subject: | cumulative Parisian ruin | exact asymptotics | Multi-dimensional Brownian motion | quadratic programming problem | ruin probability | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Mathematische Optimierung | Mathematical programming |
-
Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
Dębicki, Krzysztof, (2019)
-
Finite-time ruin probability for correlated Brownian motions
Dębicki, Krzysztof, (2021)
-
Approximation of ruin probability and ruin time in discrete Brownian risk models
Jasnovidov, Grigori, (2020)
- More ...
-
Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
Dębicki, Krzysztof, (2019)
-
Random shifting and scaling of insurance risks
Hashorva, Enkelejd, (2014)
-
A duality result for the generalized Erlang risk model
Ji, Lanpeng, (2014)
- More ...