Pandemic-type failures in multivariate Brownian risk models.
Détails
Télécharger: 35221783_BIB_962E6471BF29.pdf (478.14 [Ko])
Etat: Public
Version: Final published version
Licence: CC BY 4.0
Etat: Public
Version: Final published version
Licence: CC BY 4.0
ID Serval
serval:BIB_962E6471BF29
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Pandemic-type failures in multivariate Brownian risk models.
Périodique
Extremes
ISSN
1386-1999 (Print)
ISSN-L
1386-1999
Statut éditorial
Publié
Date de publication
2022
Peer-reviewed
Oui
Volume
25
Numéro
1
Pages
1-23
Langue
anglais
Notes
Publication types: Journal Article
Publication Status: ppublish
Publication Status: ppublish
Résumé
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A benchmark limiting model for the analysis of multiple failures is the classical d-dimensional Brownian risk model (Brm), see Delsing et al. (Methodol. Comput. Appl. Probab. 22(3), 927-948 2020). From both theoretical and practical point of view, of interest is the calculation of the probability of multiple simultaneous failures in a given time horizon. The main findings of this contribution concern the approximation of the probability that at least k out of d components of Brm fail simultaneously. We derive both sharp bounds and asymptotic approximations of the probability of interest for the finite and the infinite time horizon. Our results extend previous findings of Dȩbicki et al. (J. Appl. Probab. 57(2), 597-612 2020) and Dȩbicki et al. (Stoch. Proc. Appl. 128(12), 4171-4206 2018).
Mots-clé
Economics, Econometrics and Finance (miscellaneous), Engineering (miscellaneous), Statistics and Probability, Exact asymptotics, Failure time, Multivariate Brownian risk model, Pandemic-type events, Probability of multiple simultaneous failures, Simultaneous ruin probability
Pubmed
Web of science
Open Access
Oui
Financement(s)
Fonds national suisse / 200021-196888
Création de la notice
23/09/2021 18:15
Dernière modification de la notice
05/04/2023 5:55