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Two-dimensional ruin probability for subexponential claim size

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Two-dimensional ruin probability for subexponential claim size. / Foss, Sergey; Korshunov, Dmitry; Palmowski, Sbigniew et al.
In: Probability and Mathematical Statistics, Vol. 37, No. 2, 2017, p. 319-335.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Foss, S, Korshunov, D, Palmowski, S & Rolski, T 2017, 'Two-dimensional ruin probability for subexponential claim size', Probability and Mathematical Statistics, vol. 37, no. 2, pp. 319-335.

APA

Foss, S., Korshunov, D., Palmowski, S., & Rolski, T. (2017). Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics, 37(2), 319-335.

Vancouver

Foss S, Korshunov D, Palmowski S, Rolski T. Two-dimensional ruin probability for subexponential claim size. Probability and Mathematical Statistics. 2017;37(2):319-335.

Author

Foss, Sergey ; Korshunov, Dmitry ; Palmowski, Sbigniew et al. / Two-dimensional ruin probability for subexponential claim size. In: Probability and Mathematical Statistics. 2017 ; Vol. 37, No. 2. pp. 319-335.

Bibtex

@article{596aaab8e9674090884b45abbbeb8d8d,
title = "Two-dimensional ruin probability for subexponential claim size",
abstract = "We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity and generic claim size is subexponential.",
author = "Sergey Foss and Dmitry Korshunov and Sbigniew Palmowski and Tomasz Rolski",
year = "2017",
language = "English",
volume = "37",
pages = "319--335",
journal = "Probability and Mathematical Statistics",
issn = "0208-4147",
publisher = "PWN-Polish Scientific Publishers",
number = "2",

}

RIS

TY - JOUR

T1 - Two-dimensional ruin probability for subexponential claim size

AU - Foss, Sergey

AU - Korshunov, Dmitry

AU - Palmowski, Sbigniew

AU - Rolski, Tomasz

PY - 2017

Y1 - 2017

N2 - We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity and generic claim size is subexponential.

AB - We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity and generic claim size is subexponential.

M3 - Journal article

VL - 37

SP - 319

EP - 335

JO - Probability and Mathematical Statistics

JF - Probability and Mathematical Statistics

SN - 0208-4147

IS - 2

ER -