Finite-time ruin probability for correlated Brownian motions
Sign Up to like & getrecommendations! Published in 2020 at "Scandinavian Actuarial Journal"
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
The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
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DOI: 10.1080/03610926.2015.1030428
Abstract: ABSTRACT This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. Under the assumption that the claim size vectors form a… read more here.
Keywords: ruin probability; time; risk model; time ruin ... See more keywords