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arXiv · 2604.05143

Existence of a classical solution to the integro-differential equation arising in the Cram\'er--Lundberg non-life insurance model with proportional investment

Platon Promyslov
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Abstract

This paper establishes that the survival probability in the non-life Cram\'{e}r--Lundberg insurance model with proportional investment is a classical $C^2$-solution of the associated integro-differential equation under minimal moment conditions: it suffices that the claim size distribution is continuous and possesses a finite moment of some positive order.

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Platon Promyslov. 2026-04-06. Existence of a classical solution to the integro-differential equation arising in the Cram\'er--Lundberg non-life insurance model with proportional investment. https://arxiv.org/abs/2604.05143

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