On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
复制标题
DOI：
10.1239/jap/1371648943
复制
发表时间：
2011-05
影响因子：
1
通讯作者：
Zechun Hu;Bin Jiang
中科院分区：
文献类型：
--
作者：
Zechun Hu;Bin Jiang
本文考虑了Avram，Palmowski and Pistorius（2008）提出的具有常数利率的二维风险模型。得到了拉普拉斯变换的积分微分方程，以及有限时间破产概率分别关于联合破产时间Tmax（u1，u2）和Tmin（u1，u2）的渐近表达式.
In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) 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 max(u 1,u 2) and T min(u 1,u 2) respectively.