ON DAVIDSON'S PROBLEM IN THE COLLECTIVE RISK THEORY

Authors

  • Elena Cardona Department of Mathematics and Statistics, University “Federico II”, Naples (Italy).

Keywords:

Ruin probability, Integro -differential equation

Abstract

In this paper Davidson's classic problem concerning the solution of an integrodifferential equation regarding the collective risk theory with the aim of examining the probability of the failure of an insurance company is further analysed. The validity of a new representation’s formula to the solution of the problem is demonstrated after having discussed the question of the existence of that solution.

References

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DAVIDSON A., On the Ruin Problem in the Collective Theory of Risk; Skand. AktuarTidskr. , 3-4 Supplement, (1969).

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LAURIN I., An Introduction into Lundberg's Theory of Risk; Skand. AktuarTidskr., 1-2, (1930).

LISEI G., Su un confine inferiore della probabilità di rovina nell'ambito della teoria collettiva del rischio; G.I.I.A., (1983).

LISEI G., Una successione di approssimanti per difetto della probabilità di rovina; Pubbl. Ist. Matem. Finanz., Univ. Genova, (1988).

LUNDBERG F., Forsakrangsteknisk riskutjamming. I. Teori; Stockholm, (1926).

MARINA BORGHESANI M.E., Alcune osservazioni sulla probabilità di rovina nel caso di caricamento non costante; Pubbl. Ist. Matem. Finanz., Univ. Genova, (1988).

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Published

2003-02-16

Issue

Vol. 14 (2003)

Section

Volume 14-2003

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