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Method of Successive Approximations for Solving Integral Equations of the Theory of Risk Processes

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Abstract

A model of a classical risk process describing the evolution of an insurance company's capital is generalized. Integral equations for the bankruptcy probability are derived. The method of successive approximations is used to solve these equations.

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kiev, Ukraine

    B. V. Norkin

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  1. B. V. Norkin
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Norkin, B.V. Method of Successive Approximations for Solving Integral Equations of the Theory of Risk Processes. Cybernetics and Systems Analysis 40, 517–526 (2004). https://doi.org/10.1023/B:CASA.0000047873.39492.ba

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  • DOI: https://doi.org/10.1023/B:CASA.0000047873.39492.ba

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