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- W2240293338 abstract "We consider an exit problem of a certain two-dimensional process from acone, inspired by applications in insurance and queueing theory. One motivation is tostudy the joint ruin problem for two insurance companies (insurance/reinsurance), or fortwo branches of the same company, which divide between them both claims and premiain some specified proportions, the goal being to split the risk (in particular when theclaims are big). Another motivation is to provide an example of a multi-dimensionalruin model admitting analytic solutions. Indeed, we succeed, in the simplest particularcase of exponential claims, to derive both the Laplace transform of the perpetual ruinprobabilities, and to invert it, obtaining therefore an explicit solution for our model" @default.
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- W2240293338 date "2006-01-01" @default.
- W2240293338 modified "2023-09-23" @default.
- W2240293338 title "A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman- Kac formula, Laplace transform and its inversion" @default.
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