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Parisian & Cumulative Parisian Ruin Probability for Two-Dimensional Brownian Risk Model (2001.09302v1)
Published 25 Jan 2020 in math.PR
Abstract: 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 asymptotic theory, we derive in this contribution an asymptotic approximations of both Parisian and cumulative Parisian ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.