Zhang, Yuanyuan; Wang, Wensheng - In: Statistics & Probability Letters 82 (2012) 1, pp. 130-138
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...