Two-dimensional ruin probability for subexponential claim size

Foss, Sergey and Korshunov, Dmitry and Palmowski, Sbigniew and Rolski, Tomasz (2017) Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics, 37 (2). pp. 319-335. ISSN 0208-4147

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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.

Item Type:
Journal Article
Journal or Publication Title:
Probability and Mathematical Statistics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
86569
Deposited By:
Deposited On:
23 Jun 2017 23:05
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Sep 2020 04:06