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On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

Part of: Markov processes Mathematical economics

Published online by Cambridge University Press:  30 January 2018

Zechun Hu  and
Bin Jiang
Zechun Hu*
Affiliation:
Nanjing University
Bin Jiang*
Affiliation:
Monash University
*
∗ Postal address: Department of Mathematics, Nanjing University, Nanjing 210093, China. Email address: [email protected]
∗∗ Postal address: Department of Econometrics and Business Statistics, Monash University, Clayton, Victoria 3800, Australia. Email address: [email protected]
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Abstract

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In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times Tmax(u1,u2) and Tmin(u1,u2) respectively.

Keywords

Two-dimensional risk modelconstant interest ratejoint ruin probabilityintegral-differential equationasymptotic expression

MSC classification

Primary: 91B30: Risk theory, insurance
Secondary: 60J25: Continuous-time Markov processes on general state spaces
Type
Research Article
Information
Journal of Applied Probability , Volume 50 , Issue 2 , June 2013 , pp. 309 - 322
Copyright
© Applied Probability Trust 

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