2008•Journal of Taishan UniversityRequires access

The Ruin Probability of a Two-dimensional Risk Model

Hou Li-juan

Abstract

We consider a bivariate risk model with positive and negative risk sums.Three different types of ruin probabilities are defined.Using some results of one-dimensional risk process,simple bounds for the two-dimensional ruin probabilities are obtained.Introduce the parameter a(a1,a2),use the martingale method to discuss the ruin probability Ψa(a1u1+a2u2).We derive the integral-differential equation for the ruin probability Φa(a1u1+a2u2).

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Key concepts: Ruin theory, Mathematics, Bivariate analysis, Risk model, Martingale (probability theory), Risk process, Applied mathematics, Simple (philosophy)