Survival probability for a two-dimensional risk model
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Publication:1023117
DOI10.1016/j.insmatheco.2009.02.001zbMath1162.91405MaRDI QIDQ1023117
Ning Zhu, Lanfen Dang, Hai-ming Zhang
Publication date: 10 June 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.02.001
integral equation; survival probability; partial integro-differential equation; time of ruin; probability of ruin; recursive approximation
60G40: Stopping times; optimal stopping problems; gambling theory
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