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Ruin probabilities with compounding assets

โœ Scribed by David C.M. Dickson; Howard R. Waters

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
99 KB
Volume
25
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

โœฆ Synopsis

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.

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The aggregate claims are modeled as a compound binomial process, and the individual claim amounts are integer-valued. We study f(x, y; u), the "discounted" probability of ruin for an initial surplus u, such that the surplus just before ruin is x and the deficit at ruin is y. This function can be use