Parisian & Cumulative Parisian Ruin Probability for Two-Dimensional Brownian Risk Model

2020/01/25 by Kriukov, Nikolai
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2001.09302

Abstract

Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an asymptotic approximations of both Parisian and cumulative Parisian ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.

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