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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 37, Fasc. 2,
pages 319 - 335
 

TWO-DIMENSIONAL RUIN PROBABILITY FOR SUBEXPONENTIAL CLAIM SIZE

Sergey Foss
Dmitry Korshunov
Zbigniew Palmowski
Tomasz Rolski

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.

2010 AMS Mathematics Subject Classification: Primary: 60G51, 60G50; Secondary: 60K25.

Keywords and phrases: Two-dimensional risk process, ruin probability, subexponential distribution.

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