Ruin probabilities of a bidimensional risk model with investment

We consider a classical risk model with the possibility of investment. We study two types of ruin in the bidimensional framework. Using the martingale technique, we obtain an upper bound for the infinite-time ruin probability with respect to the ruin time Tmax(u1,u2). For each type of ruin, we derive an integral–differential equation for the survival probability, and an explicit asymptotic expression for the finite-time ruin probability.

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Year of publication:	2012
Authors:	Zhang, Yuanyuan ; Wang, Wensheng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 130-138
Publisher:	Elsevier
Subject:	Bidimensional risk model \| Survival probability \| Infinite-time ruin probability \| Finite-time ruin probability \| Martingale

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010582234