Simultaneous ruin probability for multivariate gaussian risk model

Abstract: Let $\textbf{Z}(t)=(Z_1(t) ,\ldots, Z_d(t))^\top , t \in \mathbb{R}$ where $Z_i(t), t\in \mathbb{R}$, $i=1,...,d$ are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For $\textbf{X}(t)= A \textbf{Z}(t),\ t\in\mathbb{R}$, where $A$ is a nonsingular $d\times d$ real-valued matrix, $\textbf{u}, \textbf{c}\in\mathbb{R}^d$ and $T>0$ we derive tight bounds for [ \mathbb{P}\left{\exists_{t\in [0,T]}: \cap_{i=1}^d { X_i(t)- c_i t > u_i}\right} ] and find exact asymptotics as $(u_1,...,u_d)^{\top}= (u a_1,..., ua_d)^\top$ and $u\to\infty$.