Minimum survival probabilities in a two-dimensional risk model perturbed by diffusion

Chol-Ho Kim; Gwang-Ryong Han

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arXiv · 1308.6392

Minimum survival probabilities in a two-dimensional risk model perturbed by diffusion

Chol-Ho Kim·Gwang-Ryong Han

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Abstract

In this paper we consider the finite time minimum survival probability and ultimate minimum survival probability in a two ? dimensional risk modal perturbed by diffusion Using some properties of the minimum survival probability we obtain the equation of the finite time minimum survival probability and ultimate minimum survival probability that they are satisfied and, the explicit expressions for ultimate minimum survival probability are given in a special case.

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Chol-Ho Kim, Gwang-Ryong Han. 2013-08-29. Minimum survival probabilities in a two-dimensional risk model perturbed by diffusion. https://arxiv.org/abs/1308.6392

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