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arXiv · 1105.2595

On joint ruin probabilities of a two-dimensional risk model with constant interest rate

Ze-Chun Hu·Bin Jiang
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Abstract

In this note we consider the two-dimensional risk model introduced in Avram et al. \cite{APP08} 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 $T_{\rm max}(u_1,u_2)$ and $T_{\rm min}(u_1,u_2)$ respectively.

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Ze-Chun Hu, Bin Jiang. 2011-05-13. On joint ruin probabilities of a two-dimensional risk model with constant interest rate. https://arxiv.org/abs/1105.2595

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