• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Preprints
  • Exact solution of the ruin problem in the Cramer--Lundberg model with proportional investment
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
July 24, 2026
'Physics Is What the World Is Literally Built On'
Physicist Nina Dzhanayeva, recipient of a Vladimir Potanin Foundation scholarship, focuses her research on nanophotonics. In this interview for the HSE Young Scientists project, she discusses nanowells, scientific intuition, and how physics can help in making frangipane cream puffs.
July 20, 2026
Scientists Create Open Dataset for Studying Concentration
A team of Russian researchers, including scientists from HSE University–St Petersburg, has developed the first open multimodal dataset containing recordings of brain activity, heart function, and video observations to help researchers understand what happens in the human brain during deep concentration. In the future, the dataset could accelerate the development of neural interfaces, rehabilitation technologies, and AI systems. The article has been published in Scientific Data.
July 20, 2026
‘Science Is Universal-It Knows No Borders
Fuad Aleskerov, Tenured Professor and Director of the International Centre of Decision Choice and Analysis at HSE University, together with his colleagues, has developed methods of network analysis in bibliometrics that have made it possible to identify patterns in the appearance and citation of publications in academic journals, as well as their influence on each other. When one or a number of studies are frequently cited by a wide range of journals, this is an indicator that the research is of high quality. By contrast, extensive cross-citation within a limited group of journals increases the likelihood of identifying a network of predatory publications.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Exact solution of the ruin problem in the Cramer--Lundberg model with proportional investment

2026.
Промыслов П. В., Романов М. С., Юрьева Г. В.
Language: English
Full text
DOI
Text on another site
Keywords: Exact solutionSurvival probabilityProportional investmentIntegro-differential equation
Similar publications
Non-linear filtration model with splitting front
Liudmila I. Kuzmina, Osipov, Y., Pesterev, A., International Journal of Non-Linear Mechanics 2024 Vol. 167 Article 104905
We consider filtration of a suspension in a homogeneous porous medium which is described by a macroscopic 1-D model including the mass exchange equation and the kinetic equation for deposit growth. The standard model assumes that suspended particles move at the same speed as the carrier fluid. However, in some experiments, a lag between the ...
Added: October 31, 2024
An averaged model for colloidal transport to exhibit hyper-exponential particle retention
Khazali N., Malgaresi G., Russell T. et al., Chemical Engineering Journal 2024 Vol. 496 Article 153973
Modelling of colloidal and nano-suspension transport in porous media has garnered significant attention due to the prevalence of these processes in many engineering applications. A number of experimental studies have reported retention profiles after coreflooding that are hyper-exponential, a feature that the traditional models for deep bed filtration are unable to capture. The aim of ...
Added: October 31, 2024
Retention profiles of multiparticle filtration in porous media
Kuzmina L., Osipov, Y. V., Astakhov, M. D., Mathematical Methods in the Applied Sciences 2024 Vol. 47 No. 11 P. 8319–8341
A one‐dimensional deep bed filtration model of a polydisperse suspension or colloid in a porous medium is considered. The model includes a quasilinear system of 2n equations for concentrations of suspended and retained particles of n types. The problem is reduced to a closed 3 × 3 system for total concentrations of suspended and retained ...
Added: June 27, 2024
Exact solution to non-linear filtration in heterogeneous porous media
L.I. Kuzmina, Osipov, Y. V., International Journal of Non-Linear Mechanics 2023 Vol. 150 Article 104363
Many technological processes of chemical and environmental engineering are associated with the filtration of fine particles in porous media, specifically in heterogeneous reservoirs. A one-dimensional model of deep bed filtration of suspensions and colloids in a heterogeneous porous medium is derived. The model includes the mass balance equation with variable porosity for the concentrations of ...
Added: May 19, 2023
Bidisperse filtration problem with non-monotonic retention profiles
Kuzmina L., Osipov, Y. V., Astakhov, M. D., Annali di Matematica Pura ed Applicata 2022 Vol. 201 No. 6 P. 2943–2964
During deep bed filtration of suspensions and colloids in a porous medium, some particles are retained in the pores and form a fixed deposit. A one-dimensional mathematical model of filtration with particles of two types is considered. Exact solution is derived. The existence and the uniqueness of the solution are proved by the method of ...
Added: October 26, 2022
ANALYSIS OF THE FILTRATION PROBLEM BY BITWISE SEARCH METHOD
Liudmila I. Kuzmina, Osipov Y., Astakhov M., International Journal for Computational Civil and Structural Engineering 2022 Vol. 18 No. 3 P. 86–94
During the construction of ground and underground structures, filtration of a liquid grout in loose soil makes it possible to strengthen the foundation and create underground waterproof partitions. A one-dimensional problem of filtering a bidisperse suspension in a homogeneous porous medium with size-exclusion particle capture mechanism is considered. The article is devoted to the calculation ...
Added: October 26, 2022
Particles Transport with Deposit Release in Porous Media
Kuzmina L., Osipov Y., , in: Proceedings of FORM 2021. Construction The Formation of Living EnvironmentVol. 170.: Springer, 2022. P. 539–547.
Models of transport and filtration of fine particles in porous media are used in the design of foundations, tunnels and hydraulic structures. During the particles transport, some of the particles get stuck in narrow pores and form a sediment. The suspension or colloid flow washes out the retained particles and increases the concentration of suspended ...
Added: October 26, 2022
Analytical solution for large-deposit non-linear reactive flows in porous media
Yang S., Osipov Y., Xu C. et al., Chemical Engineering Journal 2022 Vol. 430 No. 2 Article 132812
We discuss reactive flows in porous media that exhibit an irreversible chemical reaction between two components, resulting in large solid-product deposition. Previous works used the analytical solution for the linear problem with low deposition to determine model parameters from the reactant breakthrough concentrations and pressure drop growth across the core during laboratory coreflood. The present ...
Added: March 4, 2022
One-dimensional sonic black holes: Exact analytical solution and experiments
Mironov M., Pislyakov V., Journal of Sound and Vibration 2020 Vol. 473 Article 115223
We discuss results of experiments made in the 2000s with two different models of acoustic (sonic) black holes. Both structures provide linear decrease of sound velocity. The first one is a series of rigid discs fixed on a rod and placed inside the tube, diameters of discs gradually increase according to a parabolic law. The ...
Added: February 19, 2020
Unsteady Gerstner waves
Abrashkin A. A., Chaos, Solitons and Fractals 2019 Vol. 118 P. 152–158
We present an analytical description of the class of unsteady vortex surface waves generated by non- uniformly distributed, time-harmonic pressure. The fluid motion is described by an exact solution of the equations of hydrodynamics generalizing the Gerstner solution. The trajectories of the fluid particles are circumferences. The particles on a free surface rotate around circumferences ...
Added: December 17, 2018
A Branch and Bound Algorithm for the Cell Formation Problem
Irina Utkina, Mikhail Batsyn, , in: Models, Algorithms and Technologies for Network Analysis, Springer Proceedings in Mathematics & StatisticsVol. 156.: Switzerland: Springer, 2016. P. 115–124.
The cell formation problem (CFP) is an NP-hard optimization problem considered for cell manufacturing systems. Because of its high computational complexity several heuristics have been developed for solving this problem. In this paper we present a branch and bound algorithm which provides exact solutions of the CFP. This algorithm finds optimal solutions for 13 problems ...
Added: October 23, 2018
Analytical model for straining-dominant large-retention depth filtration
Liudmila Kuzmina, Bedrikovetsky P., You Z. et al., Chemical Engineering Journal 2017 Vol. 330 P. 1148–1159
A method for determining pore size distribution for a porous medium from long-time straining-dominant mono-sized suspension injection is proposed. The aim is avoiding using multiple-size particle suspensions in short-term challenge tests. We derive an exact solution for long-time non-linear injection of particles with the same size, where the non-linearity is determined by accumulation of strained ...
Added: September 7, 2017
Frequency Spectrum of Exact Solutions of the Two-Dimensional Hydrodynamic Equations
Abrashkin A. A., Yakubovich E. I., Radiophysics and Quantum Electronics 2016 Vol. 58 No. 11 P. 852–857
We show that the discrete frequency spectrum of a plane hydrodynamic flow of ideal incompressible liquid with localized trajectories of the liquid particles can contain only one, two, or an infinite number of harmonics. ...
Added: November 17, 2016
Rogue wave formation under the action of quasi-stationary pressure
Abrashkin A. A., Oshmarina O. E., Communications in Nonlinear Science and Numerical Simulation 2016 Vol. 34 P. 66–76
The process of rogue wave formation on deep water is considered. A wave of extreme amplitude is born against the background of uniform waves (Gerstner waves) under the action of external pressure on free surface. The pressure distribution has a form of a quasi-stationary “pit”. The fluid motion is supposed to be a vortex one ...
Added: November 3, 2015
Overlap of two Brownian trajectories: exact results for scaling functions
Tamm M., Stadnichuk V., Ilyina A. et al., Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2014 Vol. 89 P. 042137
We consider two random walkers starting at the same time t = 0 from different points in space separated by a given distance R. We compute the average volume of the space visited by both walkers up to time t as a function of R and t and dimensionality of space d. For d < 4, this volume, after proper renormalization, is shown to be ...
Added: May 23, 2014
Exact Solution for Long-Term Size Exclusion Suspension-Colloidal Transport in Porous Media
You Z., Bedrikovetsky P., Kuzmina L., Abstract and Applied Analysis 2013 Vol. 2013 P. 1–9
Long-term deep bed filtration in porous media with size exclusion particle capture mechanism is studied. For mono dispersed suspension and transport in porous media whit distributed pore sizes,  the micro stochastic model allows for upscaling and the exact solution is derived for the obtained macro scale equation system. Results show that transient pore size distribution ...
Added: December 27, 2013
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit