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

4 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

Link to publication in Scopus

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Цитировать

Foss, S., Korshunov, D., Palmowski, Z., & Rolski, T. (2017). Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics, 37(2), 319-335. https://doi.org/10.19195/0208-4147.37.2.7

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AU - Palmowski, Zbigniew

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KW - Two-dimensional risk process

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