论文标题
分数布朗风险模型的比例再保险
Proportional reinsurance for fractional Brownian risk model
论文作者
论文摘要
本文研究了具有比例再保险计划的二维布朗风险模型的破坏概率。我们专注于有限时间的关节和同时破坏概率。保险和再保险公司的风险过程都由大量I.I.D.组成。亚风险流程，代表独立业务。作为初始资本倾向于无穷大，我们得出了渐近学。
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.
