Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments

Authors

Sooie-Hoe Loke, Central Washington UniversityFollow
Enrique Thomann, Oregon State University

Document Type

Article

Department or Administrative Unit

Mathematics

Publication Date

10-1-2018

Abstract

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated for any gain distributions. Examples involving exponential, uniform, Pareto and discrete gains are considered. Finally, the same numerical method is applied to the Laplace transform of the time of ruin.

Comments

This article was originally published Open Access in Risks. The full-text article from the publisher can be found here.

Recommended Citation

Loke, S. H., & Thomann, E. (2018). Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments. Risks, 6(4), 110. https://doi.org/10.3390/risks6040110

Journal

Risks

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Copyright

© 2018 by the authors.