Computer treatment of the integro-differential equations of collective non-ruin; the finite time case
Athena Makroglou
Mathematics and Computers in Simulation (MATCOM), 2000, vol. 54, issue 1, 99-112
Abstract:
An important problem of collective non-ruin is the estimation of the probabilities R(z,t) and R(z) of the finite and ultimate non-ruin, respectively, where t is time and z the initial reserve. The governing equations are first-order Volterra integro-differential equations, partial (PVIDEs) in the finite time case and ordinary (VIDEs) in the ultimate non-ruin case, respectively.
Keywords: Partial Volterra integro-differential equations; First-order; Numerical solution; Collocation methods; Laplace transforms; Actuarial risk management (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:54:y:2000:i:1:p:99-112
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