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Article

Сингулярная краевая задача для интегродифференциального уравнения в модели страхования со случайными премиями: анализ и численное решение

Белкина Т. А., Конюхова Н. Б., Курочкин С. В.

A singular boundary value problem for a second order linear integrodifferential equation with Volterra and nonVolterra integral operators is formulated and analyzed. The problem arises in the study of the survival probability of an insurance company over infinite time (as a function of its initial surplus) in a dynamic insurance model that is a modification of the classical Cramer–Lundberg model with a stochastic process rate of premium under a certain investment strategy in the financial market.