Parisian ruin probability for two-dimensional Brownian risk model
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DOI: 10.1016/j.spl.2021.109327
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References listed on IDEAS
- Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, September.
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- Czarna, Irmina & Renaud, Jean-François, 2016. "A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 54-61.
- Ronnie Loeffen & Irmina Czarna & Zbigniew Palmowski, 2011. "Parisian ruin probability for spectrally negative L\'{e}vy processes," Papers 1102.4055, arXiv.org, revised Mar 2013.
- Bai, Long & Luo, Li, 2017. "Parisian ruin of the Brownian motion risk model with constant force of interest," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 34-44.
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Keywords
Multidimensional Brownian motion; Stationary random fields; Extremes;All these keywords.
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