Survival probability for a two-dimensional risk model

Lanfen Dang, Ning Zhu and Haiming Zhang

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 491-496

Abstract: In this paper, we consider the survival probability for a two-dimensional risk model. We derive a partial integro-differential equation satisfied by the survival probability and prove its differentiability. We obtain explicit expressions for recursively calculating the survival probability by applying the partial integro-differential equation when claims are exponentially distributed.

Keywords: Integral; equation; Partial; integro-differential; equation; Probability; of; ruin; Recursive; approximation; Survival; probability; Time; of; ruin (search for similar items in EconPapers)
Date: 2009

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V8N ... cdfe1b2e77dcd523b790
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:491-496

Access Statistics for this article

Insurance: Mathematics and Economics is edited by R. Kaas, H. U. Gerber, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Series data maintained by Heidi Boesdal ().