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

DOI10.1134/S0965542516010073zbMATH Open1349.91129MaRDI QIDQ2629971FDOQ2629971

Authors: T. A. Belkina, N. B. Konyukhova, S. V. Kurochkin 

Publication date: 8 July 2016

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

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• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
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• Risky investment for insurers and sufficiency theorems for the survival probability
• Risky investments and survival probability in the insurance model with two-sided jumps: Problems for integrodifferential equations and ordinary differential equation and their equivalence

zbMATH Keywords

numerical resultsexistenceuniquenessdegenerate problemsbehavior of solutionscomparison of modelsnumerical solution algorithmsexponential distributions of premium and claim sizesinvestments in risky and risk-free assetsrelated singular problems for ordinary differential equationssecond-order linear IDEs on a half-line with Volterra and non-Volterra integral operatorssingular initial value and nonlocal constrained problemssurvival probability of an insurance company as a function of its initial surplusCramér-Lundberg-type dynamical insurance models with deterministic and stochastic premiums

Mathematics Subject Classification ID

Singular nonlinear boundary value problems for ordinary differential equations (34B16) Integro-ordinary differential equations (45J05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (10)

• Qualitative results for nonlinear integro-dynamic equations via integral inequalities
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Risky investments and survival probability in the insurance model with two-sided jumps: Problems for integrodifferential equations and ordinary differential equation and their equivalence
• Risky investment for insurers and sufficiency theorems for the survival probability
• Singular problems for integro-differential equations in dynamic insurance models
• 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
• Analytic-numerical investigations of singular problems for survival probability in the dual risk model with simple investment strategies
• 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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