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arXiv · 2010.00222

Proportional reinsurance for fractional Brownian risk model

Krzysztof Kȩpczyński
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Abstract

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of both insurance and reinsurance companies are composed of a large number of i.i.d. sub-risk processes, representing independent businesses. We derive the asymptotics as the initial capital tends to infinity.

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Krzysztof Kȩpczyński. 2020-10-01. Proportional reinsurance for fractional Brownian risk model. https://arxiv.org/abs/2010.00222

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