A TWO-DIMENSIONAL RISK MODEL WITH PROPORTIONAL REINSURANCE

被引：26
作者：
Badescu, Andrei L. [1 ]
Cheung, Eric C. K. [2 ]
Rabehasaina, Landy [3 ]
机构：
[1] Univ Toronto, Dept Stat, Toronto, ON, Canada
[2] Univ Hong Kong, Pokfulam, Hong Kong, Peoples R China
[3] Univ Franche Comte, F-25030 Besancon, France
来源：
JOURNAL OF APPLIED PROBABILITY | 2011年 / 48卷 / 03期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Two-dimensional risk model; proportional reinsurance; geometric argument; absorbing set; time to ruin; deficit at ruin; RUIN PROBABILITIES; TIME; QUADRANT; DENSITY;
D O I：
10.1239/jap/1316796912
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we consider an extension of the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two insurers. The first insurer is subject to claims arising from two independent compound Poisson processes. The second insurer, which can be viewed as a different line of business of the same insurer or as a reinsurer, covers a proportion of the claims arising from one of these two compound Poisson processes. We derive the Laplace transform of the time until ruin of at least one insurer when the claim sizes follow a general distribution. The surplus level of the first insurer when the second insurer is ruined first is discussed at the end in connection with some open problems.
引用
收藏
页码：749 / 765
页数：17
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