### 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 |
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Pages (from-to) | 49-62 |

Number of pages | 14 |

Journal | Insurance: Mathematics and Economics |

Volume | 25 |

Issue number | 1 |

Publication status | Published - 1 Sep 1999 |

### Keywords

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

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## Cite this

Dickson, D. C. M., & Waters, H. R. (1999). Ruin probabilities with compounding assets.

*Insurance: Mathematics and Economics*,*25*(1), 49-62.