Finite-time ruin probability for correlated Brownian motions
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DOI: 10.1080/03461238.2021.1902853
Abstract: 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 given positive constants. Approximation of… read more here.
Keywords: finite time; time ruin; ruin probability; probability correlated ... See more keywords