𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Ruin theory with compounding assets — a survey

✍ Scribed by Jostein Paulsen

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
797 KB
Volume
22
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

The paper discusses existing results in ruin theory when assets earn interest. Both analytical and numerical approaches are considered, with main emphasis on recent publications.

📜 SIMILAR VOLUMES

Ruin probabilities with compounding asse
Ruin probabilities with compounding assets
✍ David C.M. Dickson; Howard R. Waters 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 99 KB

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 Vyld