Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第54回ISCIE「確率システム理論と応用」国際シンポジウム(2022年10月, 奈良)
Efficient numerical computation of the ruin probability
Hiroko SoutomeNaoyuki IshimuraHitoshi Imai
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ジャーナル フリー

2023 年 2023 巻 p. 35-40

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抄録
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.
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© 2023 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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