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math.PR2020
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…
math.PR2020
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…