1 citations · 1 across the 4 of their papers we have counts for
4 papers
Uniform bounds for ruin probability in Multidimensional Risk Model
Nikolai Kriukov
In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probab…
Simultaneous ruin probability for multivariate gaussian risk model
Krzysztof Bisewski, Krzysztof Debicki, Nikolai Kriukov
Let where , are mutually independent centered Gaussian processes with continuo…
Pandemic-type Failures in Multivariate Brownian Risk Models
Krzysztof Dȩbicki, Enkelejd Hashorva, Nikolai Kriukov
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A b…
Parisian & Cumulative Parisian Ruin Probability for Two-Dimensional Brownian Risk Model
Nikolai Kriukov
Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on as…