Abstract
Necessary and sufficient conditions of existence and uniqueness of solutions of integral equations are established for ruin probability as a function of the initial capital of an insurance company. Several sufficient conditions and correctness conditions of the problem of finding ruin probability are also established. A general method of successive approximations for solution of this problem is substantiated.
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Translated from Kibernetika i Sistemnyi Analiz, No. 5, pp. 157–164, September–October 2006.
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Norkin, B.V. Necessary and sufficient conditions of existence and uniqueness of solutions to integral equations of actuarial mathematics. Cybern Syst Anal 42, 743–749 (2006). https://doi.org/10.1007/s10559-006-0113-4
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DOI: https://doi.org/10.1007/s10559-006-0113-4