Singular problems for integro-differential equations in dynamic insurance models

DOI10.1007/978-1-4614-7333-6_3zbMATH Open1314.45007arXiv1511.08666OpenAlexW79675697MaRDI QIDQ5248397FDOQ5248397

Authors: Tatiana Belkina, S. V. Kurochkin 

Publication date: 7 May 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions, the problem is a singular initial problem with limit normalizing conditions at infinity. An existence and uniqueness theorem is proved and asymptotic representations of the solution are given. A numerical algorithm for evaluating the solution is proposed, calculations and their interpretation are discussed. The main singular problem under study describes the survival (non-ruin) probability of an insurance company on infinite time interval (as a function of initial surplus) in the Cramer-Lundberg dynamic insurance model with an exponential claim size distribution and certain company's strategy at the financial market assuming investment of a fixed part of the surplus (capital) into risky assets (shares) and the rest of it into a risk free asset (bank deposit). Accompanying "degenerate" problems are also considered that have an independent meaning in risk theory

Full work available at URL: https://arxiv.org/abs/1511.08666

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zbMATH Keywords

numerical algorithmVolterra integral operatorfinancial marketsecond-order linear integro-differential equationrisky assetsingular initial valueCramér-Lundberg dynamic insurance model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Linear integral equations (45A05) Integro-ordinary differential equations (45J05) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10)

Cites Work

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Cited In (8)

• Integral and differential equations for the moments of multistate models in health insurance
• In the insurance business risky investments are dangerous: the case of negative risk sums
• Application of advanced integrodifferential equations in insurance mathematics and process engineering
• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
• Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
• A proof of uniqueness of solutions of the equation for the ruin probability of an insurance company as a function of the initial surplus
• Viscosity solutions of integro-differential equations for nonruin probabilities

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