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

2011/05/13 by Ze-Chun Hu, Bin Jiang, Hu, Ze-Chun +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #math.PR

paper · pdf · doi:10.48550/arxiv.1105.2595

16 pages

openalex publication_date 2011/05/13 · arxiv created 2012/07/14 · arxiv updated 2012/07/17 · openalex created_date 2023/02/16 · openalex updated_date 2026/07/28

Abstract

In this note we consider the two-dimensional risk model introduced in Avram et al. \citeAPP08 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_{\rm max}(u₁,u₂) and T_{\rm min}(u₁,u₂) respectively.

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