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

2013/10/30 by Zhu, Dan, Zhou, Ming, Yin, Chuancun
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1310.7995

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 \B₁(t), t≥ 0\ and \B₂(t), t≥ 0\ are correlated, we establish new results for the finite-time ruin probabilities. \textcolorblue 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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