Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions-Reference-Cited by-同舟云学术

Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions

Published:2023-06-19 Issue:12 Volume:11 Page:2767
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

Zhu Dan¹,Zhou Ming²,Yin Chuancun¹^ORCID

Affiliation:

1. School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China

2. Center for Applied Statistics, School of Statistics, Renmin University of China, Beijing 100872, China

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. Our research enriches the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

Funder

National Natural Science Foundation of China

Youth Innovation Team of Shandong Universities

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

Link

https://www.mdpi.com/2227-7390/11/12/2767/pdf

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