Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities

DOI10.1137/S0040585X97T987934zbMath1415.91150OpenAlexW2560522266MaRDI QIDQ3178732

T. A. Belkina, Youri M.Kabanov

Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987934

zbMATH Keywords

integro-differential equationsLévy processesviscosity solutionsruin probabilitiesactuarial models with investments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior ⋮ Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations ⋮ Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems

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