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- W2345397682 abstract "ABSTRACTWe consider a dimensional general Cramer–Lundberg type network, with initial capital operating under a risk diversifying treaty; this is described in terms of the appropriate Skorokhod problem (SP) in determined by a reflection matrix R. Ruin of the insurance network is defined as the marginal deficit of each company being positive (and hence surplus of each company being 0) at the same time. The corresponding ruin problem is studied using the associated regulated random walk {(Y(a)n, Z(a)n)} with {Z(a)n} denoting the reflected part, and {Y(a)n} the pushing part. A dual process is introduced through time reversal at sample path level over finite time horizon; the stochastic analogue is again a regulated random walk in starting at 0; let {Wn} denote the reflected part of the dual regulated random walk. It is shown that ruin for the insurance network corresponds to {Wn} hitting the open upper orthant with vertex at R− 1a before hitting the boundary of even at the sample path level. Under natural hyp..." @default.
- W2345397682 created "2016-06-24" @default.
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- W2345397682 date "2016-05-09" @default.
- W2345397682 modified "2023-09-28" @default.
- W2345397682 title "A multidimensional ruin problem and an associated notion of duality" @default.
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- W2345397682 doi "https://doi.org/10.1080/15326349.2016.1175949" @default.
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