کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156787 958868 2012 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
چکیده انگلیسی

We consider the following theoretical reinsurance ruin problem. An insurance company has two types of independent claims, respectively modeled by a Markov additive process (large claims) and a fractional Brownian motion (small claims) with Hurst parameter H∈[1/2,1)H∈[1/2,1), and chooses to reinsure both of them according to a quota share policy. This leads to studying a bivariate risk process. We study two types of ruins, corresponding to either ruin of one of the risk processes, or of both. We obtain asymptotics of the corresponding ruin probabilities when initial reserves tend to infinity along a direction.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 8, August 2012, Pages 2925–2960
نویسندگان
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