Two-dimensional ruin probability for subexponential claim size

• Autorzy: Foss S. , Korshunov D. , Palmowski Z. , Rolski T.

Identyfikatory

DOI

10.19195/0208-4147.37.2.7

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

two-dimensional risk process; ruin probability; subexponential distribution

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2017
• Tom: Vol. 37, Fasc. 2
• Strony: 319--335
• Opis fizyczny: Bibliogr. 23 poz.

Twórcy

autor

Foss S.

• Heriot-Watt University, UK
• Novosibirsk State University, Russia
• Sobolev Institute of Mathematics, Russia
• Edinburgh EH14 4AS, Scotland, UK

autor

Korshunov D.

• Novosibirsk State University, Russia
• Lancaster University, UK
• Lancaster, LA1 4YF, United Kingdom

autor

Palmowski Z.

• Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Rolski T.

• Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).