A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion (Q436299): Difference between revisions
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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. | |||
Property / review text: 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. / rank | |||
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Property / reviewed by: Anatoliy Swishchuk / rank | |||
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Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K30 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / zbMATH DE Number: 6059068 / rank | |||
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first time passage process | |||
Property / zbMATH Keywords: first time passage process / rank | |||
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multivariate risk theory | |||
Property / zbMATH Keywords: multivariate risk theory / rank | |||
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Revision as of 01:03, 30 June 2023
scientific article
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English | A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion |
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A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion (English)
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20 July 2012
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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.
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first time passage process
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multivariate risk theory
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