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

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.

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Year of publication:	2000
Authors:	Makroglou, Athena
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 54.2000, 1, p. 99-112
Publisher:	Elsevier
Subject:	Partial Volterra integro-differential equations \| First-order \| Numerical solution \| Collocation methods \| Laplace transforms \| Actuarial risk management

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749453