Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Probability
2024-01-10 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2401.04276,
title = {Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions},
author = {Viktor Antipov and Yuri Kabanov},
journal= {arXiv preprint arXiv:2401.04276},
year = {2024}
}
Comments
13 pages