Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 664-670
Assume that an insurer has two dependent lines of business. The reserves of the two lines of business are modeled by a two-dimensional compound Poisson risk process or a common shock model. To protect from large losses and to reduce the ruin probability of the insurer, the insurer applies a...