Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty

Grigori Jasnovidov; Aleksandr Shemendyuk

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arXiv · 2103.03213

Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty

Grigori Jasnovidov·Aleksandr Shemendyuk

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Abstract

In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance companies, where the net loss is distributed between them in given proportions. We also propose an approach for simulation of Pickands and Piterbarg constants appearing in the asymptotics of the ruin probability.

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Grigori Jasnovidov, Aleksandr Shemendyuk. 2021-03-04. Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty. https://arxiv.org/abs/2103.03213

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