Pandemic-type failures in multivariate Brownian risk models.

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Version: Final published version
License: CC BY 4.0
Serval ID
serval:BIB_962E6471BF29
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Pandemic-type failures in multivariate Brownian risk models.
Journal
Extremes
Author(s)
Dȩbicki K., Hashorva E., Kriukov N.
ISSN
1386-1999 (Print)
ISSN-L
1386-1999
Publication state
Published
Issued date
2022
Peer-reviewed
Oui
Volume
25
Number
1
Pages
1-23
Language
english
Notes
Publication types: Journal Article
Publication Status: ppublish
Abstract
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).
Keywords
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
Yes
Funding(s)
Swiss National Science Foundation / 200021-196888
Create date
23/09/2021 19:15
Last modification date
05/04/2023 6:55
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