Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution

A singular boundary value problem for a second-order linear integrodifferential equation with Volterra and non-Volterra integral operators is formulated and analyzed. The equation is defined on ℝ + , has a weak singularity at zero and a strong singularity at infinity, and depends on several positive...

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Veröffentlicht in:	Computational mathematics and mathematical physics Jg. 52; H. 10; S. 1384 - 1416
Hauptverfasser:	Belkina, T. A., Konyukhova, N. B., Kurochkin, S. V.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Boston Springer US 01.10.2012 Springer Nature B.V
Schlagworte:	Asymptotic properties Bank accounts Boundary value problems Computational mathematics Computational Mathematics and Numerical Analysis Insurance Insurance companies Interest rates Investment policy Investments Markets Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Ordinary differential equations Prices Random variables Securities markets Singularities Stock exchanges Uniqueness theorems Cramer-Lundberg model with stochastic premiums existence, uniqueness, and behavior of a solution survival probability of an insurance company as a function of its initial surplus numerical solution algorithm dynamic insurance models related singular boundary value problems for ordinary differential equations second-order linear integrod-ifferential equation on a half-line singular boundary value problem with constraints
ISSN:	0965-5425, 1555-6662
Online-Zugang:	Volltext
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