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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| Sujets: | |
| Accès en ligne: | https://arxiv.org/abs/2401.04276 |
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| _version_ | 1866916085325889536 |
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| author | Antipov, Viktor Kabanov, Yuri |
| author_facet | Antipov, Viktor Kabanov, Yuri |
| contents | The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric Lévy process. Considering the ruin probability as a of the capital reserve we obtain for it a partial integro-differential equation understood in a viscosity sense and prove a result on the uniqueness of the viscosity solution for a corresponding boundary value problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_04276 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions Antipov, Viktor Kabanov, Yuri Probability The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric Lévy process. Considering the ruin probability as a of the capital reserve we obtain for it a partial integro-differential equation understood in a viscosity sense and prove a result on the uniqueness of the viscosity solution for a corresponding boundary value problem. |
| title | Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions |
| topic | Probability |
| url | https://arxiv.org/abs/2401.04276 |