Two-dimensional ruin probability for subexponential claim size
Sergey Foss (Heriot-Watt University, Edinburgh, UK)
- Date
- Le 20 avril 2018
- Horaires
- De 12:00 à 13:00
- Lieu
- Extranef, 126
- Format
- Présentiel
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 (joint work with Dmitry Korshunov, Zbigniew Palmowski and Tomasz Rolski).