Two-dimensional ruin probability for subexponential claim size

Sergey Foss; Dmitry Korshunov; Zbigniew Palmowski; Tomasz Rolski

doi:10.19195/0208-4147.37.2.7

Two-dimensional ruin probability for subexponential claim size

Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski, Tomasz Rolski

Лаборатория прикладной вероятности ММФ

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

5 Цитирования (Scopus)

Аннотация

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 premiums in some specified proportions when the initial reserves of both companies tend to infinity, and generic claim size is subexponential.

Язык оригинала	английский
Страницы (с-по)	319-335
Число страниц	17
Журнал	Probability and Mathematical Statistics
Том	37
Номер выпуска	2
DOI	https://doi.org/10.19195/0208-4147.37.2.7
Состояние	Опубликовано - 2017

Доступ к документу

10.19195/0208-4147.37.2.7

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Two-dimensional ruin probability for subexponential claim size. / Foss, Sergey; Korshunov, Dmitry; Palmowski, Zbigniew; Rolski, Tomasz.

В: Probability and Mathematical Statistics, Том 37, № 2, 2017, стр. 319-335.

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

TY - JOUR

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AU - Korshunov, Dmitry

AU - Palmowski, Zbigniew

AU - Rolski, Tomasz

PY - 2017

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KW - Ruin probability

KW - Subexponential distribution

KW - Two-dimensional risk process

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