Simultaneous ruin probability for multivariate Gaussian risk model
Author:
Funder
Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung
Narodowe Centrum Nauki
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference22 articles.
1. An Introduction to Continuity, Extrema, and Related Topics for General Gaussian Processes;Adler,1990
2. Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results;Avram;Ann. Appl. Probab.,2008
3. An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments;Berman;J. Appl. Probab.,1985
4. Ruin probability for Gaussian integrated processes;Dȩbicki;Stochastic Process. Appl.,2002
5. Extremes of vector-valued Gaussian processes: Exact asymptotics;Dȩbicki;Stochastic Process. Appl.,2015
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