Konrad Krystecki

collaborators

3 papers

math.PR2021

Two-dimensional Brownian risk model for cumulative Parisian ruin probability

Konrad Krystecki

Let $(W_{1} (s), W_{2} (t)), s, t \geq 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $ρ \in (- 1, 1) .$ In this contribution we derive preci…

math.PR2021

Parisian ruin probability for two-dimensional Brownian risk model

Konrad Krystecki

Let $(W_{1} (s), W_{2} (t)), s, t \geq 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $ρ \in (- 1, 1) .$ Parisian ruin is defined as a classi…

math.PR2020

Finite-time ruin probability for correlated Brownian motions

Krzysztof Dȩbicki, Enkelejd Hashorva, Konrad Krystecki

Let $(W_{1} (s), W_{2} (t)), s, t \geq 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $ρ \in (- 1, 1)$ and define the joint survival probabi…