On the distribution tail of an integrated risk model: A numerical approach

DOI10.1016/j.insmatheco.2007.01.006zbMath1141.91423OpenAlexW1977431325MaRDI QIDQ939337

Radostina Kostadinova, Ross A. Maller, Roland C. Seydel, Claudia Klüppelberg, Martin Brokate

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.006

zbMATH Keywords

finite difference methodvalue-at-risktail behaviourpartial integro-differential equationexponential Lévy processoptimal investment strategyintegrated insurance risk processintegrated risk management

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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