Ruin probabilities with compounding assets

被引：15

作者：

Dickson, DCM

Waters, HR ^{[1
]}

机构：

[1] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland

[2] Univ Melbourne, Melbourne, Vic, Australia

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1999年 / 25卷 / 01期

关键词：

finite time ruin; recursive calculation; constant force of interest; ultimate ruin; recovery from ruin;

D O I：

10.1016/S0167-6687(99)00017-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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., 1996. Advanced Risk Theory. Editions de l'Universite de Bruxelles.] and Sundt and Teugels [Sundt, B., Teugels, J.L,, 1995. Insurance: Mathematics and Economics 16, 7-22]. Finally, we consider the problem of recovery from ruin. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：49 / 62

页数：14

共 11 条

[1] CLASSICAL RISK THEORY IN AN ECONOMIC-ENVIRONMENT [J].