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

7 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

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10.19195/0208-4147.37.2.7

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title = "Two-dimensional ruin probability for subexponential claim size",

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

keywords = "Ruin probability, Subexponential distribution, Two-dimensional risk process",

author = "Sergey Foss and Dmitry Korshunov and Zbigniew Palmowski and Tomasz Rolski",

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doi = "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

T1 - Two-dimensional ruin probability for subexponential claim size

AU - Foss, Sergey

AU - Korshunov, Dmitry

AU - Palmowski, Zbigniew

AU - Rolski, Tomasz

PY - 2017

Y1 - 2017

N2 - 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.

AB - 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.

KW - Ruin probability

KW - Subexponential distribution

KW - Two-dimensional risk process

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U2 - 10.19195/0208-4147.37.2.7

DO - 10.19195/0208-4147.37.2.7

M3 - Article

AN - SCOPUS:85039807384

VL - 37

SP - 319

EP - 335

JO - Probability and Mathematical Statistics

JF - Probability and Mathematical Statistics

SN - 0208-4147

IS - 2

ER -

Two-dimensional ruin probability for subexponential claim size

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