Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems (Q2304423): Difference between revisions

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English	Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems	scientific article

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scholarly article

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title

Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems (English)

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Computational Mathematics and Mathematical Physics

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publication date

11 March 2020

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zbMATH Keywords

pension insurance

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dual risk model

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survival probability

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investment

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risky assets

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geometric Brownian motion

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exponential premium size distribution

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integro-differential equation

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singular boundary value problem

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MaRDI profile type

MaRDI publication profile

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cites work

Q3560912

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In the insurance business risky investments are dangerous: the case of negative risk sums

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Aspects of risk theory

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Q3091938

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Ruin theory with stochastic return on investments

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In the insurance business risky investments are dangerous

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Ruin probability in the presence of risky investments

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On Cramér-like asymptotics for risk processes with stochastic return on investments

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Optimal investment for insurers

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Optimal investment for investors with state dependent income, and for insurers

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Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

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Optimal constrained investment in the Cramer-Lundberg model

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Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution

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Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments

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Dynamical insurance models with investment: constrained singular problems for integrodifferential equations

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Distributions for the risk process with a stochastic return on investments.

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Q2940159

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Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23--27, 2017. Proceedings

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Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities

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Singular cauchy problems for systems of ordinary differential equations

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On finding the solutions for a given condition at infinity of certain systems of ordinary differential equations

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Identifiers

zbMATH Open document ID

1443.91251

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DOI

10.1134/S0965542519110022

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Aspects of risk theory
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+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
+Normal rank
@@ Property / cites work @@
+In the insurance business risky investments are dangerous
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@@ Property / cites work @@
+Ruin probability in the presence of risky investments
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@@ Property / cites work @@
+On Cramér-like asymptotics for risk processes with stochastic return on investments
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@@ Property / cites work @@
+Optimal investment for insurers
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+Normal rank
@@ Property / cites work @@
+Optimal investment for investors with state dependent income, and for insurers
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
+Normal rank
@@ Property / cites work @@
+Optimal constrained investment in the Cramer-Lundberg model
+Normal rank
@@ Property / cites work @@
+Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution
+Normal rank
@@ Property / cites work @@
+Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
+Normal rank
@@ Property / cites work @@
+Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
+Normal rank
@@ Property / cites work @@
+Distributions for the risk process with a stochastic return on investments.
+Normal rank
@@ Property / cites work @@
+Q2940159
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@@ Property / cites work @@
+Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23--27, 2017. Proceedings
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@@ Property / cites work @@
+Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities
+Normal rank
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+Singular cauchy problems for systems of ordinary differential equations
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+On finding the solutions for a given condition at infinity of certain systems of ordinary differential equations
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