Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty
Grigori Jasnovidov, Aleksandr Shemendyuk
TL;DR
This paper analyzes the asymptotic behavior of the Parisian ruin probability in a two-dimensional fractional Brownian motion risk model for insurance and reinsurance companies, and proposes a simulation method for key constants.
Contribution
It introduces a new asymptotic analysis for the joint Parisian ruin probability in a fractional Brownian motion risk model and offers a simulation approach for related constants.
Findings
Derived asymptotic formulas for Parisian ruin probabilities
Developed a simulation method for Pickands and Piterbarg constants
Enhanced understanding of risk in insurance-reinsurance models
Abstract
In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance companies, where the net loss is distributed between them in given proportions. We also propose an approach for simulation of Pickands and Piterbarg constants appearing in the asymptotics of the ruin probability.
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Taxonomy
TopicsProbability and Risk Models · Insurance and Financial Risk Management · Insurance, Mortality, Demography, Risk Management