A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion (Q436299): Difference between revisions

The author studies a bivariate risk process which is modeled by by a Markov additive process (for large claims) and a fractional Brownian motion (for small claims) with Hurst index \(H\in [1/2,1).\) This process describes two types of independent claims for an insurance company that chooses to reinsure both of them according to a quota share policy. Two types of ruins (either one of the risk processes or of both) are studied. The asymptotics of the corresponding ruin probabilities are obtained under condition that initial reserves tend to infinity.