Ruin probabilities with compounding assets

D. C M Dickson, Howard R. Waters

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)


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
Issue number1
Publication statusPublished - 1 Sept 1999


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


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