Ruin probabilities with compounding assets

D. C M Dickson, Howard R. Waters

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

We consider a classical surplus process modified by the action of a constant force of interest. We derive recursive algorithms for the calculation of the probability of ruin in finite time. We also discuss the numerical evaluation of the probability of ultimate ruin using methods proposed by De Vylder [De Vylder, F., 1996. Advanced Risk Theory. Editions de l'Université de Bruxelles.] and Sundt and Teugels [Sundt, B., Teugels, J.L., 1995. Insurance: Mathematics and Economics 16, 7-22]. Finally, we consider the problem of recovery from ruin. © 1999 Elsevier Science B.V.

Original languageEnglish
Pages (from-to)49-62
Number of pages14
JournalInsurance: Mathematics and Economics
Volume25
Issue number1
Publication statusPublished - 1 Sep 1999

Keywords

  • Constant force of interest
  • Finite time ruin
  • Recovery from ruin
  • Recursive calculation
  • Ultimate ruin

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    Dickson, D. C. M., & Waters, H. R. (1999). Ruin probabilities with compounding assets. Insurance: Mathematics and Economics, 25(1), 49-62.