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...

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...

This paper considers extreme values attained by a centered, multidimensional Gaussian process X(t)=(X1(t),...,Xn(t)) minus drift d(t)=(d1(t),...,dn(t)), on an arbitrary set T. Under mild regularity conditions, we establish the asymptotics of for positive thresholds qi0, i=1,...,n and...