比例再保险条约下保险商与再保险商的巴黎破产
Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty
AI总结：
针对比例分保下保险商与再保险商的二维分数布朗运动盈余模型，研究双方同时巴黎破产概率的渐近性，并给出模拟相关 Pickands 与 Piterbarg 常数的方法。
摘要：
本文研究二维分数布朗运动风险过程的同时巴黎破产概率的渐近性。该风险过程对保险公司与再保险公司的盈余过程进行建模，其中净损失按给定比例在两者之间分配。我们还提出一种模拟方法，用于计算破产概率渐近式中出现的 Pickands 常数与 Piterbarg 常数。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
