Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
| Autor: | Antipov, Viktor, Kabanov, Yuri |
|---|---|
| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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 L\'evy 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. Comment: 13 pages |
| Databáze: | arXiv |
| Externí odkaz: |
|