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
Abstract
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u is the same initial capital for each line. We measure the goodness of the business by analysing the adjustment coefficient, that is the limit of − ln P(u)/u as u tends to infinity, which depends essentially on the correlation ρ of the two surplus processes. In order to work out the adjustment coefficient we solve a two-layer optimization problem.
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 31 Jul 2019 11:13 |
Last Modified: | 25 Jun 2023 21:56 |
Status: | Published |
Publisher: | MDPI |
Identification Number: | 10.3390/risks7030083 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:149174 |