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Uniform bounds for ruin probability in multidimensional risk model
Statistics & Probability Letters ( IF 0.9 ) Pub Date : 2022-07-22 , DOI: 10.1016/j.spl.2022.109622
Nikolai Kriukov

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.



中文翻译:

多维风险模型中破产概率的统一界限

在本文中,我们考虑了经典的一些概括d维布朗风险模型。这一贡献为感兴趣的同时毁灭概率推导出了一些非渐近界。此外,对于一般趋势函数和原始风险模型的卷积,我们也获得了非渐近界。

更新日期:2022-07-22
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