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GLOBAL IN SPACE NUMERICAL COMPUTATION OF THE RUIN PROBABILITY.
- Source :
- Advances in Mathematical Sciences & Applications; 2022, Vol. 31 Issue 2, p397-406, 10p
- Publication Year :
- 2022
-
Abstract
- Numerical computation of the ruin probability is discussed. The probability is governed by the Volterra type integral equation with infinite domain of integration. Transforming the infinite interval into a bounded interval, we apply the Chebyshev-Gauss-Radau collocation method to obtain numerical solutions. Aymptotic behavior is also numerically implemented. Numerical experiments of test problems show that our scheme works well. [ABSTRACT FROM AUTHOR]
- Subjects :
- VOLTERRA equations
COLLOCATION methods
PROBABILITY theory
POISSON processes
Subjects
Details
- Language :
- English
- ISSN :
- 13434373
- Volume :
- 31
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Advances in Mathematical Sciences & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 160493463