Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments

Sooie-Hoe Loke and Enrique Thomann
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Sooie-Hoe Loke: Department of Mathematics, Central Washington University, 400 East University Way, Ellensburg, WA 98926, USA
Enrique Thomann: Department of Mathematics, Oregon State University, Corvallis, OR 97331-4605, USA

Risks, 2018, vol. 6, issue 4, 1-13

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: ruin probability; dual risk model; constant interest rate; integral equation; Laplace transform; numerical approximation (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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