Two-dimensional ruin probability for subexponential claim size
DOI:
https://doi.org/10.19195/0208-4147.37.2.7Słowa kluczowe:
Two-dimensional risk process, ruin probability, subexponential distributionAbstrakt
TWO-DIMENSIONAL RUIN PROBABILITY FOR SUBEXPONENTIAL CLAIM SIZE
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.
