Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
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Publication:5087008
DOI10.1017/JPR.2021.74zbMath1489.91222arXiv2011.07828OpenAlexW4283379098WikidataQ115337133 ScholiaQ115337133MaRDI QIDQ5087008
Nikita Pukhlyakov, Youri M.Kabanov
Publication date: 8 July 2022
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.07828
differential equationssmoothnessruin probabilitiesrisky investmentsactuarial models with investments
Related Items (3)
On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments ⋮ Ruin probabilities for a Sparre Andersen model with investments
Cites Work
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- Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
- Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution
- A Direct Approach to the Discounted Penalty Function
- Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities
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