Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions

Abstract

The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions {B1(t),t≥0} and {B2(t),t≥0} are correlated, we establish new results for the finite-time ruin probabilities. Our research enriches the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

Keywords

• bidimensional perturbed risk model
• correlated brownian motions
• finite-time ruin probability
• heavy-tailed risk model
• interest force