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Showing 2008 · math.PRShow all
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math.PR2008★ 1 cited
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process
Zbigniew Palmowski, Martijn Pistorius
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of…
math.PR2008★ 69 cited
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of cla…