Numerical ruin probability in the dual risk model with risk-free investments

Sooie-Hoe Loke and Enrique Thomann

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated for any gain distributions. Examples involving exponential, uniform, Pareto and discrete gains are considered. Finally, the same numerical method is applied to the Laplace transform of the time of ruin.

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Year of publication:	December 2018
Authors:	Loke, Sooie-Hoe ; Thomann, Enrique
Subject:	ruin probability \| dual risk model \| constant interest rate \| integral equation \| Laplace transform \| numerical approximation \| Risiko \| Risk \| Theorie \| Theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Risikomodell \| Risk model \| Finanzmathematik \| Mathematical finance \| Zins \| Interest rate

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