@inbook{30f57643d4f94b8085c031b0794c009b,
title = "A Partial differential equation approach to multivariate risk theory",
abstract = "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.",
author = "Elliott, {Robert J.} and Siu, {Tak Kuen} and Hailiang Yang",
year = "2012",
doi = "10.1142/9789814383585_0007",
language = "English",
isbn = "9789814383578",
series = "Interdisciplinary mathematical sciences",
publisher = "World Scientific Publishing",
pages = "111--123",
editor = "Tusheng Zhang and Xunyu Zhou",
booktitle = "Stochastic analysis and applications to finance",
address = "Singapore",
}