论文标题
二维布朗风险模型的巴黎和累积巴黎破坏概率
Parisian & Cumulative Parisian Ruin Probability for Two-Dimensional Brownian Risk Model
论文作者
论文摘要
在古典布朗风险模型中，巴黎的破坏概率与标准毁灭概率不同，即使在一维设置中也无法明确计算。诉诸渐近理论时，我们得出了这一贡献，即巴黎和累积巴黎毁灭性概率的渐近近似，当初始资本增加到无限限时，二维布朗风险模型的差异和同时破坏了时间。
Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an asymptotic approximations of both Parisian and cumulative Parisian ruin probability and simultaneous ruin time for the two-dimensional Brownian risk model when the initial capital increases to infinity.
