Dynamical insurance models with investment: Constrained singular problems for integrodifferential equations

Previous and new results are used to compare two mathematical insurance models with identical insurance company strategies in a financial market, namely, when the entire current surplus or its constant fraction is invested in risky assets (stocks), while the rest of the surplus is invested in a risk...

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Bibliographic Details
Published in:	Computational mathematics and mathematical physics Vol. 56; no. 1; pp. 43 - 92
Main Authors:	Belkina, T. A., Konyukhova, N. B., Kurochkin, S. V.
Format:	Journal Article
Language:	English
Published:	Moscow Pleiades Publishing 01.01.2016 Springer Nature B.V
Subjects:	Algorithms Computational mathematics Computational Mathematics and Numerical Analysis Constraints Financing Insurance Insurance companies Integrals Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Operators Ordinary differential equations Risk Securities markets exponential distributions of premium and claim sizes behavior of solutions investments in risky and risk-free assets related singular problems for ordinary differential equations numerical solution algorithms existence singular initial value and nonlocal constrained problems numerical results Cramér–Lundberg-type dynamical insurance models with deterministic and stochastic premiums survival probability of an insurance company as a function of its initial surplus uniqueness degenerate problems second-order linear IDEs on a half-line with Volterra and non-Volterra integral operators comparison of models
ISSN:	0965-5425, 1555-6662
Online Access:	Get full text
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