Ruin probabilities with compounding assets

D. C M Dickson; Howard R. Waters

Ruin probabilities with compounding assets

D. C M Dickson, Howard R. Waters

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	49-62
Number of pages	14
Journal	Insurance: Mathematics and Economics
Volume	25
Issue number	1
Publication status	Published - 1 Sept 1999

Keywords

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

Cite this

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AB - 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.

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KW - Recovery from ruin

KW - Recursive calculation

KW - Ultimate ruin

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JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

Ruin probabilities with compounding assets

Abstract

Keywords

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