Survival probability for a two-dimensional risk model

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

zbMATH Keywords

integral equation; survival probability; partial integro-differential equation; time of ruin; probability of ruin; recursive approximation

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

Related Items

On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences, Ruin probabilities in multivariate risk models with periodic common shock, On a multi-dimensional risk model with regime switching, Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums, Ruin probabilities of a bidimensional risk model with investment, Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks, Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model, Bidimensional discrete-time risk models based on bivariate claim count time series, Recursive methods for a multi-dimensional risk process with common shocks, A Two-Dimensional Risk Model with Proportional Reinsurance, A survey of some recent results on Risk Theory

Cites Work

• Unnamed Item
• On a correlated aggregate claims model with thinning-dependence structure
• Aspects of risk theory
• On the distributions of two classes of correlated aggregate claims
• A discrete-time risk model with interaction between classes of business.
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Some results on ruin probabilities in a two-dimensional risk model.
• Aggregate survival probability of a portfolio with dependent subportfolios.
• The discrete-time risk model with correlated classes of business
• Distributions for the risk process with a stochastic return on investments.