%0 Journal Article
%T Logarithmic Asymptotics for Probability of Component-Wise Ruin in a Two-Dimensional Brownian Model
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7030083
%X We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P ( u ) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u is the same initial capital for each line. We measure the goodness of the business by analysing the adjustment coefficient, that is the limit of £¿ ln P ( u ) / u as u tends to infinity, which depends essentially on the correlation ¦Ñ of the two surplus processes. In order to work out the adjustment coefficient we solve a two-layer optimization problem. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/3/83