On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Lanpeng Ji

Scandinavian Actuarial Journal, 2020, vol. 2020, issue 9, 819-842

Abstract: Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial capital tends to infinity. An asymptotic distribution for the conditional cumulative Parisian ruin time is also derived. The obtained results on the cumulative Parisian ruin can be seen as generalisations of some of the results derived in D $\c{e} $ȩbicki et al. [(2018). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and Their Applications 128, 4171–4206]. As a particular interesting case, the two-dimensional Brownian motion risk model is discussed in detail.

Date: 2020
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DOI: 10.1080/03461238.2020.1758762

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