Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
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Publication:2629971
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
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- Aspects of risk theory
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- Discovery of the solutions of certain systems of differential equations with a given condition at infinity. I
- Evaluation of the eigenvalues and eigenfunctions of ordinary differential equations with singularities
- In the insurance business risky investments are dangerous
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- On the transfer of the condition of boundedness for some systems of ordinary linear differential equations
- Optimal constrained investment in the Cramer-Lundberg model
- Power tailed ruin probabilities in the presence of risky investments.
- Risk models with stochastic premium and ruin probability estimation
- Risk process with stochastic premiums
- Risky investment for insurers and sufficiency theorems for the survival probability
- Ruin probabilities
- Ruin probability in the presence of risky investments
- Ruin theory with stochastic return on investments
- Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
- Singular cauchy problems for systems of ordinary differential equations
- Singular problems for integro-differential equations in dynamic insurance models
Cited in
(10)- Qualitative results for nonlinear integro-dynamic equations via integral inequalities
- Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
- Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems
- Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
- Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
- Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations
- Risky investment for insurers and sufficiency theorems for the survival probability
- Singular problems for integro-differential equations in dynamic insurance models
- Analytic-numerical investigations of singular problems for survival probability in the dual risk model with simple investment strategies
- Risky investments and survival probability in the insurance model with two-sided jumps: Problems for integrodifferential equations and ordinary differential equation and their equivalence
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