Abstract
Efficient numerical procedure for the ruin/survival probability is proposed, which is concerned with a new numerical scheme of the integral equation describing the behavior of the ruin/survival probability. Properly transforming the infinite domain of integration of the equation into a bounded interval, we bypass the problem of truncation range and then we apply the Chebyshev-Gauss-Radau collocation method. Numerical experiments of test problems involving the Pareto distribution ensure that our method works well also in the asymptotic behavior.
