Logarithmic Asymptotics For Probability Of Component-Wise Ruin In A Two-Dimensional Brownian Model

Dębicki, K, Ji, L orcid.org/0000-0002-7790-7765 and Rolski, T (2019) Logarithmic Asymptotics For Probability Of Component-Wise Ruin In A Two-Dimensional Brownian Model. Risks, 7 (3). 83. ISSN 2227-9091

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Copyright, Publisher and Additional Information: © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
Keywords: adjustment coefficient; logarithmic asymptotics; quadratic programming problem; ruin probability; two-dimensional Brownian motion
Dates:
  • Published: 1 August 2019
  • Accepted: 29 July 2019
  • Published (online): 1 August 2019
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 31 Jul 2019 11:13
Last Modified: 21 Aug 2019 14:48
Status: Published
Publisher: MDPI
Identification Number: https://doi.org/10.3390/risks7030083
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