On the joint survival probability of two collaborating firms

DOI10.1017/JPR.2023.46MaRDI QIDQ6500020

Robert Hesse, Stefan Ankirchner, Maike Klein

Publication date: 10 May 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

optimal controlruin probabilitytwo-dimensional Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Free boundary problems for PDEs (35R35) Risk models (general) (91B05)

Cites Work

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• On the gain of collaboration in a two dimensional ruin problem
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Simultaneous ruin probability for two-dimensional brownian risk model
• Full “Bang” to Reduce Predicted Miss is Optimal
• On Itô’s Stochastic Integral Equations
• Ruin probability in a two-dimensional model with correlated Brownian motions
• On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

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