We develop a new approach to ruin theory for a multi-line insurance business when the
risk processes for correlated insurance policies are described by a multivariate diffusion process. A relation between the probability distribution of a hitting time in a multivariate diffusion framework and the solution of a multivariate partial differential equation is obtained. Explicit solutions are then derived for some special cases.
|Title of host publication||Stochastic analysis and applications to finance|
|Editors||Tusheng Zhang, Xunyu Zhou|
|Place of Publication||Hackensack, N.J.|
|Number of pages||13|
|Publication status||Published - 2012|
|Name||Interdisciplinary mathematical sciences|