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Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 3 [Article No.:] 83 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-21
Verlag: 
MDPI, Basel
Zusammenfassung: 
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u is the same initial capital for each line. We measure the goodness of the business by analysing the adjustment coefficient, that is the limit of −lnP(u)/u as u tends to infinity, which depends essentially on the correlation ρ of the two surplus processes. In order to work out the adjustment coefficient we solve a two-layer optimization problem.
Schlagwörter: 
adjustment coefficient
logarithmic asymptotics
quadratic programming problem
ruin probability
two-dimensional Brownian motion
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