Two-dimensional ruin probability for subexponential claim size

  1. Sergey Foss
  2. Dmitry Korshunov
  3. Zbigniew Palmowski
  4. Tomasz Rolski

Abstract

 

TWO-DIMENSIONAL RUIN PROBABILITY FOR SUBEXPONENTIAL CLAIM SIZE

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 premiums in some specified proportions when the initial reserves of both companies tend to infinity, and generic claim size is subexponential.

 

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Probability and Mathematical Statistics

37, z. 2, 2017

Pages from 319 to 335

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