Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions

Dan Zhu, Ming Zhou and Chuancun Yin ()
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Dan Zhu: School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China
Ming Zhou: Center for Applied Statistics, School of Statistics, Renmin University of China, Beijing 100872, China
Chuancun Yin: School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China

Mathematics, 2023, vol. 11, issue 12, 1-18

Abstract: The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions { B 1 ( t ) , t ≥ 0 } and { B 2 ( t ) , t ≥ 0 } are correlated, we establish new results for the finite-time ruin probabilities. Our research enriches the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

Keywords: bidimensional perturbed risk model; correlated brownian motions; finite-time ruin probability; heavy-tailed risk model; interest force (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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