Singular Problems for Integro-differential Equations in Dynamic Insurance Models

DOI10.1007/978-1-4614-7333-6_3zbMath1314.45007arXiv1511.08666OpenAlexW79675697MaRDI QIDQ5248397

S. V. Kurochkin, Unnamed Author, Tatiana Belkina

Publication date: 7 May 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.08666

zbMATH Keywords

numerical algorithmVolterra integral operatorfinancial marketsecond-order linear integro-differential equationrisky assetsingular initial valueCramér-Lundberg dynamic insurance model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-ordinary differential equations (45J05) Numerical methods for integral equations (65R20) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Linear integral equations (45A05)

Related Items (5)

In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Dynamical insurance models with investment: constrained singular problems for integrodifferential equations ⋮ Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities ⋮ Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments ⋮ Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution

Cites Work

• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Aspects of risk theory
• In the insurance business risky investments are dangerous
• Singular cauchy problems for systems of ordinary differential equations
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