Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Fuente:
arXiv
Saved in:
| Main Authors: | Antipov, Viktor, Kabanov, Yuri |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
by: Kabanov, Yuri, et al.
Published: (2023)
by: Kabanov, Yuri, et al.
Published: (2023)
On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
by: Antipov, Viktor
Published: (2025)
by: Antipov, Viktor
Published: (2025)
Distributional equations and the ruin problem for the Sparre Andersen model with investments
by: Kabanov, Yuri, et al.
Published: (2025)
by: Kabanov, Yuri, et al.
Published: (2025)
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
by: Kabanov, Yuri, et al.
Published: (2025)
by: Kabanov, Yuri, et al.
Published: (2025)
Comparison of viscosity solutions for a class of non-linear PDEs on the space of finite nonnegative measures
by: Ekren, Ibrahim, et al.
Published: (2026)
by: Ekren, Ibrahim, et al.
Published: (2026)
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
by: Buckdahn, Rainer, et al.
Published: (2024)
by: Buckdahn, Rainer, et al.
Published: (2024)
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
by: Hu, Dongdong, et al.
Published: (2025)
by: Hu, Dongdong, et al.
Published: (2025)
Hybrid Risk Processes: A Versatile Framework for Modern Ruin Problems
by: Peralta, Oscar, et al.
Published: (2025)
by: Peralta, Oscar, et al.
Published: (2025)
On a Variation of Gambler's Ruin Problem
by: Chi, Zhiyi, et al.
Published: (2025)
by: Chi, Zhiyi, et al.
Published: (2025)
Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs
by: Neufeld, Ariel, et al.
Published: (2024)
by: Neufeld, Ariel, et al.
Published: (2024)
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
by: de Feo, Filippo
Published: (2023)
by: de Feo, Filippo
Published: (2023)
Exact solution of the ruin problem in the Cramér--Lundberg model with proportional investment
by: Promyslov, Platon, et al.
Published: (2026)
by: Promyslov, Platon, et al.
Published: (2026)
A Game Theoretic Analysis of the Three-Gambler Ruin Game
by: Kehagias, Ath., et al.
Published: (2024)
by: Kehagias, Ath., et al.
Published: (2024)
A new approach for the unitary Dyson Brownian motion through the theory of viscosity solutions
by: Bertucci, Charles, et al.
Published: (2025)
by: Bertucci, Charles, et al.
Published: (2025)
A viscosity solution approach to the large deviation principle for stochastic convective Brinkman-Forchheimer equations
by: Gautam, Sagar, et al.
Published: (2025)
by: Gautam, Sagar, et al.
Published: (2025)
Eddy viscosity by Lévy transport noises
by: Luo, Dejun, et al.
Published: (2025)
by: Luo, Dejun, et al.
Published: (2025)
Existence, uniqueness and comparison theorem on unbounded solutions of general time interval BSDEs with sub-quadratic generators
by: Gu, Chuang, et al.
Published: (2024)
by: Gu, Chuang, et al.
Published: (2024)
Non-parametric finite-sample credible intervals with one-dimensional priors: a middle ground between Bayesian and frequentist intervals
by: Ritmeester, Tim
Published: (2026)
by: Ritmeester, Tim
Published: (2026)
On the boundedness of Gross' solution to the planar Skorokhod embedding problem
by: Boudabra, Maher, et al.
Published: (2024)
by: Boudabra, Maher, et al.
Published: (2024)
Ruin Probability Approximation for Bidimensional Brownian Risk Model with Tax
by: Shashkov, Timofei
Published: (2024)
by: Shashkov, Timofei
Published: (2024)
Bonus-malus Systems vs Delays in Claims Reporting and Settlement: Analysis of Ruin Probabilities
by: Osatakul, Dhiti, et al.
Published: (2024)
by: Osatakul, Dhiti, et al.
Published: (2024)
Finite-Time Ruin for the Compound Markov Binomial Risk Model
by: Palmowski, Zbigniew, et al.
Published: (2025)
by: Palmowski, Zbigniew, et al.
Published: (2025)
Parisian Ruin for Insurer and Reinsurer under Quota-Share Treaty
by: Jasnovidov, Grigori, et al.
Published: (2021)
by: Jasnovidov, Grigori, et al.
Published: (2021)
Martingale Approach to Gambler's Ruin Problem for Correlated Random Walks
by: Pozdnyakov, Vladimir
Published: (2025)
by: Pozdnyakov, Vladimir
Published: (2025)
Linear Risk Sharing in Community-Based Insurance: Ruin Reduction in the Compound Poisson Model
by: Denuit, Michel, et al.
Published: (2026)
by: Denuit, Michel, et al.
Published: (2026)
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
by: Kabanov, Yuri, et al.
Published: (2026)
by: Kabanov, Yuri, et al.
Published: (2026)
Schauder estimates and classical solutions of the Dirichlet problem for stochastic parabolic equations
by: Du, Kai
Published: (2026)
by: Du, Kai
Published: (2026)
A Numerical scheme to approximate the solution of the planar Skorokhod embedding problem
by: Becher, Mrabet, et al.
Published: (2025)
by: Becher, Mrabet, et al.
Published: (2025)
The random stable roommates problem typically has no solution
by: Chin, Byron, et al.
Published: (2026)
by: Chin, Byron, et al.
Published: (2026)
On the scaling of random Tamari intervals and Schnyder woods of random triangulations (with an asymptotic D-finite trick)
by: Chapuy, Guillaume
Published: (2024)
by: Chapuy, Guillaume
Published: (2024)
Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
by: Klinge, Jonathan, et al.
Published: (2026)
by: Klinge, Jonathan, et al.
Published: (2026)
On the logarithmic energy of solutions to the polynomial eigenvalue problem
by: Armentano, Diego, et al.
Published: (2024)
by: Armentano, Diego, et al.
Published: (2024)
The number of solutions of a random system of polynomials over a finite field
by: Jain, Ritik
Published: (2024)
by: Jain, Ritik
Published: (2024)
On uniqueness of an optimal solution to the Kantorovich problem with density constraints
by: Popova, Svetlana
Published: (2024)
by: Popova, Svetlana
Published: (2024)
Ruin probability for renewal risk models with neutral net profit condition
by: Grigutis, Andrius, et al.
Published: (2023)
by: Grigutis, Andrius, et al.
Published: (2023)
On a Couple of Unresolved Group Testing Conjectures
by: Čižikovienė, Ugnė, et al.
Published: (2021)
by: Čižikovienė, Ugnė, et al.
Published: (2021)
Estimates of $mm$-entropy of a stable Lévy process
by: Khamzin, Viktor, et al.
Published: (2026)
by: Khamzin, Viktor, et al.
Published: (2026)
Comparison of viscosity solutions for a class of second order PDEs on the Wasserstein space
by: Bayraktar, Erhan, et al.
Published: (2023)
by: Bayraktar, Erhan, et al.
Published: (2023)
Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem
by: Jiang, Lianzi, et al.
Published: (2025)
by: Jiang, Lianzi, et al.
Published: (2025)
Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
by: Chen, Zhangting, et al.
Published: (2025)
by: Chen, Zhangting, et al.
Published: (2025)
Similar Items
-
Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
by: Kabanov, Yuri, et al.
Published: (2023) -
On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
by: Antipov, Viktor
Published: (2025) -
Distributional equations and the ruin problem for the Sparre Andersen model with investments
by: Kabanov, Yuri, et al.
Published: (2025) -
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
by: Kabanov, Yuri, et al.
Published: (2025) -
Comparison of viscosity solutions for a class of non-linear PDEs on the space of finite nonnegative measures
by: Ekren, Ibrahim, et al.
Published: (2026)