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

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 T_max(u₁,u₂) and T_min(u₁,u₂) respectively.