Two-dimensional ruin probability for subexponential claim size
Probability
2017-06-02 v4
Abstract
We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity and generic claim size is subexponential.
Cite
@article{arxiv.1702.01312,
title = {Two-dimensional ruin probability for subexponential claim size},
author = {Sergey Foss and Dmitry Korshunov and Zbigniew Palmowski and Tomasz Rolski},
journal= {arXiv preprint arXiv:1702.01312},
year = {2017}
}