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

DOI10.1134/S0965542516010073zbMath1349.91129MaRDI QIDQ2629971

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

Publication date: 8 July 2016

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

zbMATH Keywords

numerical resultsexistenceuniquenessdegenerate problemsbehavior of solutionscomparison of modelsnumerical solution algorithmsCramér-Lundberg-type dynamical insurance models with deterministic and stochastic premiumsexponential 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 surplus

Mathematics Subject Classification ID

Related Items (4)

Qualitative results for nonlinear integro-dynamic equations via integral inequalities ⋮ Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations ⋮ Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process ⋮ 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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