Finite-time ruin probability for correlated Brownian motions
نویسندگان
چکیده
منابع مشابه
Ruin Probability for Generalized Φ-sub-gaussian Fractional Brownian Motion
for various types of risk process X = (X(t), t ≥ 0) and functions f(t). The similar problem of finding the buffer overflow probability appears in the queuing theory for different communication network models. The tasks of such type were solved for many types of processes, including Gaussian ones and aforementioned FBM (see, for example, Norros [1], Michna [2], Baldi and Pacchiarotti [3], etc.)....
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ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2021
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461238.2021.1902853