Runge--Kutta numerical methods for ruin probabilities in classical risk model

Fuente: arXiv
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Autori principali: Kanakoudis, George, Kanellopoulos, Lazaros
Natura: Preprint
Pubblicazione: 2026
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author Kanakoudis, George
Kanellopoulos, Lazaros
author_facet Kanakoudis, George
Kanellopoulos, Lazaros
contents In this paper, we study Runge--Kutta methods for the computation of ruin probabilities in the classical risk model through the associated Volterra integro-differential equation. The proposed framework combines fourth-order one-step and two-step Runge--Kutta schemes with numerical quadrature formulas to approximate the convolution term. In particular, the convolution term is approximated using Newton--Cotes and Gaussian quadrature formulas, including Simpson's 1/3 rule and Pareto-adapted Gauss--Jacobi quadrature. An equivalent reformulation of the Volterra equation as a system of ordinary differential equations is also considered. Implementations for Gamma and Pareto claim-size distributions are developed. Numerical results are presented to illustrate the effectiveness of the proposed methods.
format Preprint
id arxiv_https___arxiv_org_abs_2605_21693
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle Runge--Kutta numerical methods for ruin probabilities in classical risk model
Kanakoudis, George
Kanellopoulos, Lazaros
Numerical Analysis
65L06, 65R20, 91G05, 91B30
In this paper, we study Runge--Kutta methods for the computation of ruin probabilities in the classical risk model through the associated Volterra integro-differential equation. The proposed framework combines fourth-order one-step and two-step Runge--Kutta schemes with numerical quadrature formulas to approximate the convolution term. In particular, the convolution term is approximated using Newton--Cotes and Gaussian quadrature formulas, including Simpson's 1/3 rule and Pareto-adapted Gauss--Jacobi quadrature. An equivalent reformulation of the Volterra equation as a system of ordinary differential equations is also considered. Implementations for Gamma and Pareto claim-size distributions are developed. Numerical results are presented to illustrate the effectiveness of the proposed methods.
title Runge--Kutta numerical methods for ruin probabilities in classical risk model
topic Numerical Analysis
65L06, 65R20, 91G05, 91B30
url https://arxiv.org/abs/2605.21693