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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:12:p:2767-:d:1174443
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    References listed on IDEAS

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