Article ID Journal Published Year Pages File Type
1156787 Stochastic Processes and their Applications 2012 36 Pages PDF
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.

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Physical Sciences and Engineering Mathematics Mathematics (General)
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