Two-dimensional ruin probability for subexponential claim size

Serguei Foss, Dmitry Korshunov, Zbigniew Palmowski, Tomasz Rolski

Research output: Contribution to journalArticle

4 Citations (Scopus)
34 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)319-335
Number of pages17
JournalProbability and Mathematical Statistics
Volume37
Issue number2
Early online date1 Dec 2017
DOIs
Publication statusPublished - Dec 2017

Keywords

  • two-dimensional risk process, ruin probability, subexponential distribution

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