大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,The University of Osaka

Ruin probabilities for actuarial models with investments and viscosity solutions

Yuri Kabanov (University of Franche-Comté, Besançon)

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4. Ruin probabilities for actuarial models with investments and viscosity solutions

大阪大学 数理・データ科学セミナー　金融・保険セミナーシリーズ 第70回

Ruin probabilities for actuarial models with investments and viscosity solutions

Yuri Kabanov (University of Franche-Comté, Besançon)

We consider a model of an insurance company investing its reserve into a risky asset which price follows a geometric Lévy process. We show that the non-ruin probability is a viscosity solution of a second order integro-differential equation and prove a uniqueness theorem for the latter.