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Proportional reinsurance for fractional Brownian risk model (2010.00222v1)
Published 1 Oct 2020 in math.PR
Abstract: This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on 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. We derive the asymptotics as the initial capital tends to infinity.