On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

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34 citations0/0 files storedJournal of Applied Probability

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

Abstract

In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times Tmax(u1,u2) and Tmin(u1,u2) respectively.

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1999Stochastic Processes for Insurance & Finance 2014Stochastic Integration and Differential Equations : A New Approach 2000Ruin Probabilities 2000Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999)2008Ruin models with investment income 2007A two-dimensional ruin problem on the positive quadrant 2003Some results on ruin probabilities in a two-dimensional risk model 1981On the probability of ruin in the presence of a linear dividend barrier

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