Survival probability for a two-dimensional risk model

Lanfen Dang, Ning Zhu and Haiming Zhang

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, 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
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Citations: View citations in EconPapers (8)

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

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