Proportional reinsurance for fractional Brownian risk model

• Authors: Kępczyński Krzysztof

Title variants

PL

Reasekuracja proporcjonalna w ułamkowo brownowskim modelu ryzyka

• Languages of publication: EN

Abstracts

EN

This paper investigates the ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. The author focused on the 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. The asymptotics were derived as the initial capital tends to infinity.

PL

Artykuł bada prawdopodobieństwa ruiny w dwuwymiarowym ułamkowo brownowskim modelu ryzyka w schemacie reasekuaracji proporcjonalnej. Autor skupił się na prawdopodobieństwach ruin łącznej oraz symultanicznej w skończonym horyzoncie czasu. Procesy ryzyka firm ubezpieczeniowej oraz reasekuracyjnej składają się z dużej liczby i.i.d procesów podryzyka reprezentujących niezależne biznesy. W pracy zostały wyznaczone asymptotyki, gdy kapitał początkowy dąży do nieskończoności.

Keywords

EN

fractional Brownian motion; asymptotics; ruin probability; two-dimensional risk model; proportional reinsurance

PL

ułamkowy ruch Browna; asymptotyki; prawdopodobieństwo ruiny; dwuwymiarowy model ryzyka; ubezpieczenia proporcjonalne

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Śląski Przegląd Statystyczny
• Year: 2020
• Issue: 18 (24)

Contributors

author

Kępczyński Krzysztof

• University of Wrocław, Poland

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