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.