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(R1503) Numerical Ultimate Survival Probabilities In An Insurance Portfolio Compounded By Risky Investments, Juma Kasozi
(R1503) Numerical Ultimate Survival Probabilities In An Insurance Portfolio Compounded By Risky Investments, Juma Kasozi
Applications and Applied Mathematics: An International Journal (AAM)
Probability of ultimate survival is one of the central problems in insurance because it is a management tool that may be used to check on the solvency levels of the insurer. In this article, we numerically compute this probability for an insurer whose portfolio is compounded by investments arising from a risky asset. The uncertainty in the celebrated Cramér-Lundberg model is provided by a standard Brownian motion that is independent of the standard Brownian motion in the model for the risky asset. We apply an order four Block-by-block method in conjunction with the Simpson rule to solve the resulting Volterra …