Some results on ruin probabilities in a two-dimensional risk model

Abstract

Ruin theory under multi-dimensional risk models is very complex. Even in the two-dimensional case, the problem is challenging. In this paper, we consider a bivariate risk model. Three different types of ruin probabilities are defined. Using some results of one-dimensional risk processes, simple bounds for the two-dimensional ruin probabilities are obtained. Numerical examples and simulation experiments are given to illustrate the tightness of the bounds. A partial integral-differential equation satisfied by the two-dimensional ruin probabilities is derived. Although special cases and examples in this paper provide some exciting results, the problem of ruin probability in a multi-dimensional risk model is still far from solved. We hope that this paper stimulates more research by actuaries in this area. © 2003 Elsevier Science B.V. All rights reserved.