Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment
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arXiv
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866910107293450240 |
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| author | Promyslov, Platon |
| author_facet | Promyslov, Platon |
| contents | This paper establishes that the survival probability in the non-life Cramér--Lundberg insurance model with proportional investment is a classical $C^2$-solution of the associated integro-differential equation under minimal moment conditions: it suffices that the claim size distribution is continuous and possesses a finite moment of some positive order. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_05143 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment Promyslov, Platon Probability 60G44, 91G05, 45D05 This paper establishes that the survival probability in the non-life Cramér--Lundberg insurance model with proportional investment is a classical $C^2$-solution of the associated integro-differential equation under minimal moment conditions: it suffices that the claim size distribution is continuous and possesses a finite moment of some positive order. |
| title | Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment |
| topic | Probability 60G44, 91G05, 45D05 |
| url | https://arxiv.org/abs/2604.05143 |