| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077114 | Insurance: Mathematics and Economics | 2009 | 6 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lanfen Dang, Ning Zhu, Haiming Zhang,