Numerical Ultimate Ruin Probabilities under Interest Force | Science Publications

Journal of Mathematics and Statistics

Juma Kasozi¹  Jostein Paulsen¹ 

关键词: Risk theory;    ruin probability;    volterra integral equation;    block-by-block method;   

DOI  :  10.3844/jmssp.2005.246.251

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

This work addresses the issue of ruin of an insurer whose portfolio is exposed to insurance risk arising from the classical surplus process. Availability of a positive interest rate in the financial world forces the insurer to invest into a risk free asset. We derive a linear Volterra integral equation of the second kind and apply an order four Block-by-block method in conjuction with the Simpson rule to solve the Volterra equation for ultimate ruin. This probability is arrived at by taking a linear combination of some two solutions to the Volterra integral equation. The several numerical examples given show that our results are excellent and reliable.

【 授权许可】

Unknown