Two-dimensional ruin probability for subexponential claim size

zbMath1393.60100arXiv1702.01312MaRDI QIDQ4578300

Tomasz Rolski, Zbigniew Palmowski, Dmitrii Korshunov, Sergeĭ Georgievich Foss

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/1702.01312

zbMATH Keywords

ruin probabilitysubexponential distributiontwo-dimensional risk process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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