Cumulative Parisian ruin probability for two-dimensional Brownian risk model

• Autorzy: Krystecki Konrad

Identyfikatory

DOI

10.37190/0208-4147.00090

• Języki publikacji: EN

Abstrakty

EN

Let (W_1(s), W₂(t)), s, t ≤ 0, be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation ρ ∈ (−1, 1). We derive the exact asymptotics as u → ∞ for the cumulative Parisian ruin probability [Formula] for c₁, c₂ ∈ R, a ∈ (0, 1] and suitably adjusted H₁(u), H₂(u).

Słowa kluczowe

EN

multidimensional Brownian motion; stationary random fields; extremes

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2023
• Tom: Vol. 43, Fasc. 1
• Strony: 63--81
• Opis fizyczny: Bibluiogr. 22 poz.

Twórcy

autor

Krystecki Konrad

• Mathematical Institute, University of Wrocław, Pl. Grunwaldzki 2, 50-384 Wrocław, Poland

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).