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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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.