Journal of Applied Probability

On joint ruin probabilities of a two-dimensional risk model with constant interest rate

Zechun Hu and Bin Jiang

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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.

Article information

Source
J. Appl. Probab., Volume 50, Number 2 (2013), 309-322.

Dates
First available in Project Euclid: 19 June 2013

Permanent link to this document
https://projecteuclid.org/euclid.jap/1371648943

Digital Object Identifier
doi:10.1239/jap/1371648943

Mathematical Reviews number (MathSciNet)
MR3102482

Zentralblatt MATH identifier
1266.91034

Subjects
Primary: 91B30: Risk theory, insurance
Secondary: 60J25: Continuous-time Markov processes on general state spaces

Keywords
Two-dimensional risk model constant interest rate joint ruin probability integral-differential equation asymptotic expression

Citation

Hu, Zechun; Jiang, Bin. On joint ruin probabilities of a two-dimensional risk model with constant interest rate. J. Appl. Probab. 50 (2013), no. 2, 309--322. doi:10.1239/jap/1371648943. https://projecteuclid.org/euclid.jap/1371648943


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References

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