On a partial integrodifferential equation of Seal's type

DOI10.1016/j.insmatheco.2015.03.004zbMath1318.91124OpenAlexW2009976580MaRDI QIDQ2347058

Gordon E. Willmot

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.004

zbMATH Keywords

finite-time ruin probabilitydeficit at ruintime of ruinmixed Erlang distributionLundberg's fundamental equationLagrange's implicit function theorem

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items

Finite-time ruin probabilities using bivariate Laguerre series, A note on some joint distribution functions involving the time of ruin, A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model, Distributional study of finite-time ruin related problems for the classical risk model, On the distribution of classic and some exotic ruin times, The expected discounted penalty function: from infinite time to finite time, A Fourier-cosine method for finite-time ruin probabilities, Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation, Gerber-Shiu analysis of a risk model with capital injections

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• Loss Models