Ruin probability approximation for bidimensional Brownian risk model with tax

Timofei Shashkov

Statistics & Probability Letters, 2025, vol. 217, issue C

Abstract: Let B(t)=(B1(t),B2(t)), t≥0 be a two-dimensional Brownian motion with independent components and define the γ-reflected process X(t)=(X1(t),X2(t))=B1(t)−c1t−γ1infs1∈[0,t](B1(s1)−c1s1),B2(t)−c2t−γ2infs2∈[0,t](B2(s2)−c2s2),with given finite constants c1,c2∈R and γ1,γ2∈[0,2). The goal of this paper is to derive the asymptotics of the ruin probability P∃t∈[0,T]:X1(t)>u,X2(t)>auas u→∞ for T>0.

Keywords: Bidimensional Brownian risk model; Simultaneous ruin probability; γ-reflected risk model; Exact asymptotics; Extremes of Gaussian random fields (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110305

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