Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process-Reference-Cited by-同舟云学术

Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process

Published:2023-12-27 Issue:1 Volume:12 Page:5
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Boxma Onno¹²,Hinze Fabian³,Mandjes Michel²³⁴⁵

Affiliation:

1. Department of Mathematics and Computer Science, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands

2. Eurandom, Eindhoven University of Technology, 5600 MB Eindhoven, The Netherlands

3. Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Science Park 904, 1098 XH Amsterdam, The Netherlands

4. Mathematical Institute, P.O. Box 9512, 2300 RA Leiden, The Netherlands

5. Amsterdam Business School, Faculty of Economics and Business, University of Amsterdam, 1090 GE Amsterdam, The Netherlands

Abstract

We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process. In addition, the two net cumulative claim processes share a common Brownian motion component. For this model we determine the Gerber–Shiu metrics, covering the probability of ruin of each of the two reserve processes before an exponentially distributed time along with the ruin times and the undershoots and overshoots at ruin.

Funder

NWO Gravitation project Networks

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Link

https://www.mdpi.com/2227-9091/12/1/5/pdf

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