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.
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 language | English |
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Pages (from-to) | 319-335 |
Number of pages | 17 |
Journal | Probability and Mathematical Statistics |
Volume | 37 |
Issue number | 2 |
Early online date | 1 Dec 2017 |
DOIs | |
Publication status | Published - Dec 2017 |
Keywords
- two-dimensional risk process, ruin probability, subexponential distribution