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In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then… Click to show full abstract
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated for any gain distributions. Examples involving exponential, uniform, Pareto and discrete gains are considered. Finally, the same numerical method is applied to the Laplace transform of the time of ruin.
Keywords:
risk model;
risk;
dual risk;
ruin probability
Journal Title: Risks
Year Published: 2018
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Journal Title: Risks
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!