Uniform bounds for ruin probability in Multidimensional Risk Model

2022/05/13 by Nikolai Kriukov, Kriukov, Nikolai · 1 citation
Mathematics · #60G15 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G15

paper · pdf · doi:10.48550/arxiv.2205.06923

arxiv created 2022/05/13 · arxiv updated 2022/05/17

Abstract

In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic bounds also for the case of general trend functions and convolutions of our original risk model.

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