论文标题
在二维模型中毁灭概率，与布朗尼相关运动
Ruin probability in a two-dimensional model with correlated Brownian motions
论文作者
论文摘要
我们考虑了两家保险公司，由布朗尼动议与漂流进行了捐赠流程。这些公司可以通过转让付款进行合作，以最大程度地提高其破产的可能性。我们表明，如果布朗尼动议相关，并且转移率可以超过漂移率，则最大程度地推动公司是合作的最佳策略。此外，在完全相关的布朗尼运动的情况下，我们获得了最小毁灭概率的明确公式，在那里我们还允许不同的扩散系数。
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing maximally the company with less endowment is the optimal strategy for the collaboration if the Brownian motions are correlated and the transfer rate can exceed the drift rates. Moreover, we obtain an explicit formula for the minimal ruin probability in case of perfectly positively correlated Brownian motions where we also allow for different diffusion coefficients.
