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arXiv · 1702.01312

Two-dimensional ruin probability for subexponential claim size

Sergey Foss·Dmitry Korshunov·Zbigniew Palmowski·Tomasz Rolski
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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.

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Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski, Tomasz Rolski. 2017-02-04. Two-dimensional ruin probability for subexponential claim size. https://arxiv.org/abs/1702.01312

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