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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 94, 2022 - Issue 4
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Review

Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model

Pages 629-645 | Received 28 Jan 2020, Accepted 02 Sep 2021, Published online: 04 Oct 2021

References

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  • K. Dębicki, E. Hashorva, and Z. Michna, Simultaneous ruin probability for two-dimensional Brownian risk model, J. Appl. Probab. 57(2) (2020), pp. 597–612.
  • K. Dębicki, P. Liu, and Z. Michna, Sojourn times of Gaussian processes with trend, J. Theoret. Probab.33(4) (2020), pp. 2119–2166.
  • G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij, and E.M.M. Winands, Asymptotics and approximations of ruin probabilities for multivariate risk processes in a markovian environment. preprint (2018), Available at arXiv:1812.09069.
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