Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results

Florin Avram (1) , Zbigniew Palmowski (2) , Martijn Pistorius

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 Mathematical Institute, University of Wroclaw

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem considered is that of the corresponding two-dimensional risk process first leaving the positive quadrant; another is that of entering the negative quadrant. When the claims arrive according to a Poisson process we obtain a closed form expression for the ultimate ruin probability. In the general case we analyze the asymptotics of the ruin probability when the initial reserves of both companies tend to infinity under a Cramér light-tail assumption on the claim size distribution.

Domaines: Probabilités [math.PR]

Florin Avram, Zbigniew Palmowski, Martijn Pistorius. Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results. 2008. ⟨hal-00264360⟩