arXiv Open Access 2026

Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment

Platon Promyslov

Lihat Sumber

Abstrak

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.

Topik & Kata Kunci

math.PR

Penulis (1)

Platon Promyslov

Format Sitasi

APA MLA BibTeX

Promyslov, P. (2026). Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment. https://arxiv.org/abs/2604.05143

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2026
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓