Singular problems for integro-differential equations in dynamic insurance models

DOI10.1007/978-1-4614-7333-6_3MaRDI QIDQ5248397zbMATHOpenAlexFDO

Authors Tatiana Belkina, S. V. Kurochkin

Publication date 7 May 2015

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

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

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)

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

Recommendations

• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution
• Dynamical insurance models with investment: constrained singular problems for integrodifferential equations
• 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

Cites work

• scientific article; zbMATH DE number 4050016 (Why is no real title available?)
• scientific article; zbMATH DE number 204189 (Why is no real title available?)
• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• scientific article; zbMATH DE number 3109695 (Why is no real title available?)
• Aspects of risk theory
• In the insurance business risky investments are dangerous
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Singular cauchy problems for systems of ordinary differential equations

Cited in

(8)

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

This page was built for publication: Singular problems for integro-differential equations in dynamic insurance models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5248397)