Survival probability for a two-dimensional risk model

DOI10.1016/J.INSMATHECO.2009.02.001zbMath1162.91405OpenAlexW1973018286MaRDI 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 equationsurvival probabilitypartial integro-differential equationtime of ruinprobability of ruinrecursive approximation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (15)

A survey of some recent results on Risk Theory ⋮ On a multi-dimensional risk model with regime switching ⋮ 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 ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ Ruin probabilities of a bidimensional risk model with investment ⋮ Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums ⋮ Bidimensional discrete-time risk models based on bivariate claim count time series ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ A Two-Dimensional Risk Model with Proportional Reinsurance ⋮ A \(2\times 2\) random switching model and its dual risk model

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• The discrete-time risk model with correlated classes of business
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