Ji, L and Robert, S (2018) Ruin problems of a two-dimensional fractional Brownian motion risk process. Stochastic Models, 34 (1). pp. 73-97. ISSN 1532-6349
Abstract
This paper investigates ruin probability and ruin time of a two-dimensional fractional Brownian motion risk process. The net loss process of an insurance company is modeled by a fractional Brownian motion. The two-dimensional fractional Brownian motion risk process models the surplus processes of an insurance and a reinsurance company, where the net loss is divided between them in some specified proportions. The ruin problem considered is that of the two-dimensional risk process first entering the negative quadrant, that is, the simultaneous ruin problem. We derive both asymptotics of the ruin probability and approximations of the scaled conditional ruin time as the initial capital tends to infinity.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2018 Taylor & Francis. This is an author produced version of a paper published in Stochastic Models. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Asymptotics, fractional Brownian motion, reinsurance, ruin probability, ruin time, two-dimensional risk process |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 21 Nov 2018 10:11 |
Last Modified: | 29 Jan 2019 01:38 |
Status: | Published |
Publisher: | Taylor & Francis |
Identification Number: | 10.1080/15326349.2017.1389284 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:138929 |