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Uniform bounds for ruin probability in multidimensional risk model

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  • Kriukov, Nikolai

Abstract

In this paper we consider some generalisations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic bounds also for the case of general trend functions and convolutions of our original risk model.

Suggested Citation

  • Kriukov, Nikolai, 2022. "Uniform bounds for ruin probability in multidimensional risk model," Statistics & Probability Letters, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:stapro:v:190:y:2022:i:c:s0167715222001559
    DOI: 10.1016/j.spl.2022.109622
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