Two-dimensional ruin probability for subexponential claim size

Standard

Two-dimensional ruin probability for subexponential claim size. / Foss, Sergey; Korshunov, Dmitry; Palmowski, Zbigniew et al.

In: Probability and Mathematical Statistics, Vol. 37, No. 2, 2017, p. 319-335.

Research output: Contribution to journal › Article › peer-review

Harvard

Foss, S, Korshunov, D, Palmowski, Z & Rolski, T 2017, 'Two-dimensional ruin probability for subexponential claim size', Probability and Mathematical Statistics, vol. 37, no. 2, pp. 319-335. https://doi.org/10.19195/0208-4147.37.2.7

APA

Foss, S., Korshunov, D., Palmowski, Z., & Rolski, T. (2017). Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics, 37(2), 319-335. https://doi.org/10.19195/0208-4147.37.2.7

Vancouver

Foss S, Korshunov D, Palmowski Z, Rolski T. Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics. 2017;37(2):319-335. doi: 10.19195/0208-4147.37.2.7

Author

Foss, Sergey ; Korshunov, Dmitry ; Palmowski, Zbigniew et al. / Two-dimensional ruin probability for subexponential claim size. In: Probability and Mathematical Statistics. 2017 ; Vol. 37, No. 2. pp. 319-335.

BibTeX

@article{c6a948c1d6244882b95ecb1cad6c19be,

title = "Two-dimensional ruin probability for subexponential claim size",

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.",

keywords = "Ruin probability, Subexponential distribution, Two-dimensional risk process",

author = "Sergey Foss and Dmitry Korshunov and Zbigniew Palmowski and Tomasz Rolski",

year = "2017",

doi = "10.19195/0208-4147.37.2.7",

language = "English",

volume = "37",

pages = "319--335",

journal = "Probability and Mathematical Statistics",

issn = "0208-4147",

publisher = "PWN-Polish Scientific Publishers",

number = "2",

}

RIS

TY - JOUR

T1 - Two-dimensional ruin probability for subexponential claim size

AU - Foss, Sergey

AU - Korshunov, Dmitry

AU - Palmowski, Zbigniew

AU - Rolski, Tomasz

PY - 2017

Y1 - 2017

N2 - 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.

AB - 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.

KW - Ruin probability

KW - Subexponential distribution

KW - Two-dimensional risk process

UR - http://www.scopus.com/inward/record.url?scp=85039807384&partnerID=8YFLogxK

U2 - 10.19195/0208-4147.37.2.7

DO - 10.19195/0208-4147.37.2.7

M3 - Article

AN - SCOPUS:85039807384

VL - 37

SP - 319

EP - 335

JO - Probability and Mathematical Statistics

JF - Probability and Mathematical Statistics

SN - 0208-4147

IS - 2

ER -

ID: 9642614