Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156787 | Stochastic Processes and their Applications | 2012 | 36 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Landy Rabehasaina,