Proportional reinsurance for fractional Brownian risk model
Probability
2020-10-02 v1
Abstract
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of both insurance and reinsurance companies are composed of a large number of i.i.d. sub-risk processes, representing independent businesses. We derive the asymptotics as the initial capital tends to infinity.
Keywords
Cite
@article{arxiv.2010.00222,
title = {Proportional reinsurance for fractional Brownian risk model},
author = {Krzysztof Kȩpczyński},
journal= {arXiv preprint arXiv:2010.00222},
year = {2020}
}