Viscosity solutions of integro-differential equations for nonruin probabilities

DOI10.1137/S0040585X97T987934zbMATH1415.91150OpenAlexW2560522266MaRDI QIDQ3178732FDOQ3178732

Authors T. A. Belkina, Yuri Kabanov

Publication date 7 December 2016

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t987934

zbMATH Keywords

integro-differential equationsviscosity solutionsruin probabilitiesactuarial models with investmentsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Recommendations

• Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior
• 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
• Viscosity solutions of nonlinear integro-differential equations
• A proof of uniqueness of solutions of the equation for the ruin probability of an insurance company as a function of the initial surplus

Cites work

• scientific article; zbMATH DE number 14969 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Distributions for the risk process with a stochastic return on investments.
• In the insurance business risky investments are dangerous
• In the insurance business risky investments are dangerous: the case of negative risk sums
• On the Dirichlet problem for second-order elliptic integro-differential equations
• Risky investment for insurers and sufficiency theorems for the survival probability
• Ruin probabilities
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Ruin theory with stochastic return on investments
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
• Singular problems for integro-differential equations in dynamic insurance models
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(6)

• Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems
• Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations
• A proof of uniqueness of solutions of the equation for the ruin probability of an insurance company as a function of the initial surplus
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
• Stochastic viscosity solutions for stochastic integral-partial differential equations
• Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior

This page was built for publication: Viscosity solutions of integro-differential equations for nonruin probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3178732)