Finite-time ruin probabilities of bidimensional risk models with correlated Brownian motions

Dan Zhu; Ming Zhou; Chuancun Yin

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arXiv · 1310.7995

Finite-time ruin probabilities of bidimensional risk models with correlated Brownian motions

Dan Zhu·Ming Zhou·Chuancun Yin

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Abstract

The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and $\{B_2(t), t\ge 0\}$ are correlated, we establish new results for the finite-time ruin probabilities. \textcolor{blue} {Our research has enriched the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

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Dan Zhu, Ming Zhou, Chuancun Yin. 2013-10-30. Finite-time ruin probabilities of bidimensional risk models with correlated Brownian motions. https://arxiv.org/abs/1310.7995

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