Survival probability for a two-dimensional risk model |
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| Authors: | Lanfen Dang Haiming Zhang |
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| Affiliation: | a Department of Physics, Suzhou University, Suzhou 215006, PR China
b Department of Mathematics and The Center for Financial Engineering, Suzhou University, Suzhou 215006, PR China |
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| 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. |
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| Keywords: | Integral equation Partial integro-differential equation Probability of ruin Recursive approximation Survival probability Time of ruin |
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