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Computer treatment of the integro-differential equations of collective non-ruin; the finite time case

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  • Makroglou, Athena

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.

Suggested Citation

  • Makroglou, Athena, 2000. "Computer treatment of the integro-differential equations of collective non-ruin; the finite time case," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 99-112.
    • Handle: RePEc:eee:matcom:v:54:y:2000:i:1:p:99-112
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    References listed on IDEAS

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    1. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    2. Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 85-94, April.
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