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
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
Journal title :
Insurance Mathematics and Economics
