Viscosity solutions of integro-differential equations for nonruin probabilities
DOI10.1137/S0040585X97T987934zbMATH Open1415.91150OpenAlexW2560522266MaRDI QIDQ3178732FDOQ3178732
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
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integro-differential equationsviscosity solutionsruin probabilitiesactuarial models with investmentsLévy processes
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)
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Cited In (5)
- Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
- Stochastic viscosity solutions for stochastic integral-partial differential equations
- Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
- 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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