Uniform bounds for ruin probability in Multidimensional Risk Model
Probability
2022-05-17 v1
Abstract
In this paper we consider some generalizations 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.
Cite
@article{arxiv.2205.06923,
title = {Uniform bounds for ruin probability in Multidimensional Risk Model},
author = {Nikolai Kriukov},
journal= {arXiv preprint arXiv:2205.06923},
year = {2022}
}