A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments

DOI10.1016/j.insmatheco.2005.02.008zbMath1242.60071OpenAlexW2035925546MaRDI QIDQ882865

Andreas Steigen, Jostein Paulsen, Juna Kasozi

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.008

zbMATH Keywords

ruin probabilityVolterra equationblock-by-block method

Mathematics Subject Classification ID

Related Items (4)

Unnamed Item ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Unnamed Item ⋮ On minimizing the ultimate ruin probability of an insurer by reinsurance

Cites Work

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