A Two-Dimensional Risk Model with Proportional Reinsurance

DOI10.1239/jap/1316796912zbMath1239.91073OpenAlexW2096099771MaRDI QIDQ3094690

Landy Rabehasaina, Andrei L. Badescu, Eric C. K. Cheung

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1316796912

zbMATH Keywords

absorbing settime to ruinproportional reinsurancedeficit at ruintwo-dimensional risk modelgeometric argument

Mathematics Subject Classification ID

Related Items (21)

A survey of some recent results on Risk Theory ⋮ Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance ⋮ Queues and Risk Models with Simultaneous Arrivals ⋮ Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem ⋮ A state dependent reinsurance model ⋮ A Dynamic Contagion Risk Model with Recovery Features ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ A bivariate risk model with mutual deficit coverage ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums ⋮ Bidimensional discrete-time risk models based on bivariate claim count time series ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ On the central management of risk networks ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ A \(2\times 2\) random switching model and its dual risk model ⋮ Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times

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