scholarly journals Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims

2015 ◽  
Vol 426 (1) ◽  
pp. 247-266 ◽  
Author(s):  
Jinzhu Li ◽  
Haizhong Yang
Keyword(s):  
Interest Rate ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk ◽  
Constant Interest Rate ◽  
Constant Interest

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (02) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

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.

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (2) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

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 Tmax(u1,u2) and Tmin(u1,u2) respectively.

Asymptotic ruin probabilities for a bidimensional renewal risk model

Stochastics ◽  
2017 ◽  
Vol 89 (5) ◽  
pp. 687-708 ◽  
Author(s):  
Haizhong Yang ◽  
Jinzhu Li
Keyword(s):  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk
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