Title of article
Survival probability for a two-dimensional risk model
Author/Authors
Dang، نويسنده , , Lanfen and Zhu، نويسنده , , Ning and Zhang، نويسنده , , Haiming، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
6
From page
491
To page
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 , Recursive approximation , time of ruin , Probability of ruin , Partial integro-differential equation , Survival probability
Journal title
Insurance Mathematics and Economics
Serial Year
2009
Journal title
Insurance Mathematics and Economics
Record number
1543776
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