Finite-time ruin probabilities of bidimensional risk models with correlated Brownian motions

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 $\{B_1(t),t\ge 0\}$ and $\{B_2(t),t\ge 0\}$ are correlated, we establish new results for the finite-time ruin probabilities. \textcolor{blue} {Our research has enriched the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

arXiv comment26pages

References in corpus (1)

• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results