Survival probability for a two-dimensional risk model

In this paper, we consider the survival probability for a two-dimensional risk model. We derive a partial integro-differential equation satisfied by the survival probability and prove its differentiability. We obtain explicit expressions for recursively calculating the survival probability by applying the partial integro-differential equation when claims are exponentially distributed.

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Year of publication:	2009
Authors:	Dang, Lanfen ; Zhu, Ning ; Zhang, Haiming
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 3, p. 491-496
Publisher:	Elsevier
Keywords:	Integral equation Partial integro-differential equation Probability of ruin Recursive approximation Survival probability Time of ruin

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

Persistent link: https://www.econbiz.de/10004973701