A Two-Dimensional Risk Model with Proportional Reinsurance

DOI10.1239/jap/1316796912zbMath1239.91073MaRDI 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 set; time to ruin; proportional reinsurance; deficit at ruin; two-dimensional risk model; geometric argument

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

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