Two-dimensional ruin probability for subexponential claim size

Autor:	Foss, Sergey, Korshunov, Dmitry, Palmowski, Zbigniew, Rolski, Tomasz
Rok vydání:	2017
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1702.01312 Zobrazit plný text záznamu View this record from Arxiv