Survival probability in the Cramér-Lundberg model with investment is a C² classical solution to the integro-differential equation under minimal continuity and moment conditions on claims.
Finance Stoch.6(2), 227–235 (2002)
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Existence of viscosity solutions is proved for the integro-differential ruin equation in the annuity-and-investment Cramér-Lundberg model, followed by a regularity result establishing that the solutions are classical.
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Existence of a classical solution to the integro-differential equation arising in the Cram\'er--Lundberg non-life insurance model with proportional investment
Survival probability in the Cramér-Lundberg model with investment is a C² classical solution to the integro-differential equation under minimal continuity and moment conditions on claims.
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Viscosity solutions of the integro-differential equation for the Cram\'er--Lundberg model with annuity payments and investments
Existence of viscosity solutions is proved for the integro-differential ruin equation in the annuity-and-investment Cramér-Lundberg model, followed by a regularity result establishing that the solutions are classical.