Simultaneous ruin probability for two-dimensional brownian risk model

Abstract

AbstractThe ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite time horizon. This is not the case for the simultaneous ruin probability in the two-dimensional Brownian risk model. Relying on asymptotic theory, we derive in this contribution approximations for both simultaneous ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.