Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195877 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
ruin probability
dual risk model
constant interest rate
integral equation
Laplace transform
numerical approximation
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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