@article {10.3844/jmssp.2005.246.251,
article_type = {journal},
title = {Numerical Ultimate Ruin Probabilities under Interest Force},
author = {Kasozi, Juma and Paulsen, Jostein},
volume = {1},
year = {2005},
month = {Sep},
pages = {246-251},
doi = {10.3844/jmssp.2005.246.251},
url = {https://thescipub.com/abstract/jmssp.2005.246.251},
abstract = {This work addresses the issue of ruin of an insurer whose portfolio is exposed to insurance risk arising from the classical surplus process. Availability of a positive interest rate in the financial world forces the insurer to invest into a risk free asset. We derive a linear Volterra integral equation of the second kind and apply an order four Block-by-block method in conjuction with the Simpson rule to solve the Volterra equation for ultimate ruin. This probability is arrived at by taking a linear combination of some two solutions to the Volterra integral equation. The several numerical examples given show that our results are excellent and reliable.},
journal = {Journal of Mathematics and Statistics},
publisher = {Science Publications}
}