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

Abstract

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.