Uniform bounds for ruin probability in multidimensional risk model

Nikolai Kriukov

Statistics & Probability Letters, 2022, vol. 190, issue C

Abstract: In this paper we consider some generalisations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic bounds also for the case of general trend functions and convolutions of our original risk model.

Keywords: Brownian risk model; Brownian motion; Simultaneous ruin probability; Uniform bounds (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109622

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