Article ID Journal Published Year Pages File Type
9552837 Insurance: Mathematics and Economics 2005 22 Pages PDF
Abstract
Let ψ(y) be the probability of ultimate ruin in the classical risk process compounded by a linear Brownian motion. Here y is the initial capital. We give sufficient conditions for the survival probability function ϕ=1−ψ to be four times continuously differentiable, which in particular implies that ϕ is the solution of a second order integro-differential equation. Transforming this equation into an ordinary Volterra integral equation of the second kind, we analyze properties of its numerical solution when basically the block-by-block method in conjunction with Simpsons rule is used. Finally, several numerical examples show that the method works very well.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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