Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach

In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a contract reduces the insurer’s exposure to the liabilities c...

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Библиографические подробности

Главные авторы:	Krzysztof Burnecki, Marek A. Teuerle, Aleksandra Wilkowska
Формат:	Artigo
Язык:	Inglês
Опубликовано:	MDPI AG 2021-05-01
Серии:	Risks
Предметы:	non-life insurance multidimensional risk process ruin probability change of measure exponential distribution reinsurance
Online-ссылка:	https://www.mdpi.com/2227-9091/9/5/86
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