The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process

Details The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process

2008-05-12

arxiv.org/abs/0805.1631v1

Mathematics

Probability

Scientific paper

We analyze the asymptotics of crossing a high piecewise linear barriers by a
renewal compound process with the subexponential jumps. The study is motivated
by ruin probabilities of two insurance companies (or two branches of the same
company) that divide between them both claims and premia in some specified
proportions when the initial reserves of both companies tend to infinity.

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