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