A two-dimensional ruin problem on the positive quadrant

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dc.creatorAvram, Florin
dc.creatorPalmowski, Zbigniew
dc.creatorPistorius, Martijn
dc.date2007-11-15
dc.date.accessioned2026-07-07T08:43:09Z
dc.date.available2026-07-07T08:43:09Z
dc.descriptionIn this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance companies by Cramér-Lundberg processes we obtain the Laplace transform in space of the probability that either of the insurance companies is ruined in finite time. Subsequently, for exponentially distributed claims, we derive an explicit analytical expression for this joint ruin probability by explicitly inverting this Laplace transform. We also provide a characterization of the Laplace transform of the joint ruin time.
dc.description2 figures, 19pp
dc.identifierhttps://arxiv.org/abs/0711.2465
dc.identifierhttp://arxiv.org/abs/0711.2465
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/142214
dc.subjectProbability
dc.subject91B30
dc.titleA two-dimensional ruin problem on the positive quadrant
dc.typetext

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