Ruin probability in a two-dimensional model with correlated Brownian motions
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Publication:5003356
DOI10.1080/03461238.2020.1845788zbMath1470.91228arXiv2004.13601OpenAlexW3099842061MaRDI QIDQ5003356
Publication date: 21 July 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.13601
optimal control problemcollaborationruin probabilitiestwo-dimensional Brownian motioncorrelated Brownian motions
Free boundary problems for PDEs (35R35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)
Related Items (2)
Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem ⋮ On the joint survival probability of two collaborating firms
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