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.