Uniform bounds for ruin probability in Multidimensional Risk Model
Nikolai Kriukov
TL;DR
This paper extends classical multidimensional risk models by deriving non-asymptotic bounds for simultaneous ruin probabilities, including cases with general trend functions and convolutions, providing practical risk assessment tools.
Contribution
It introduces new non-asymptotic bounds for multidimensional ruin probabilities, generalizing existing models to include trend functions and convolutions.
Findings
Derived non-asymptotic bounds for ruin probabilities
Extended bounds to models with trend functions
Included convolutions in risk model analysis
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.
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Taxonomy
TopicsProbability and Risk Models · Insurance, Mortality, Demography, Risk Management · Insurance and Financial Risk Management