Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
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Publication:2378637
DOI10.1214/08-AAP529zbMATH Open1163.60010arXiv0802.4060OpenAlexW2080613566MaRDI QIDQ2378637FDOQ2378637
Authors: F. Avram, Zbigniew Palmowski, Martijn R. Pistorius 
Publication date: 13 January 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem considered is that of the corresponding two-dimensional risk process first leaving the positive quadrant; another is that of entering the negative quadrant. When the claims arrive according to a Poisson process, we obtain a closed form expression for the ultimate ruin probability. In the general case, we analyze the asymptotics of the ruin probability when the initial reserves of both companies tend to infinity under a Cram'{e}r light-tail assumption on the claim size distribution.
Full work available at URL: https://arxiv.org/abs/0802.4060
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Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)
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