8 citations · 8 across the 3 of their papers we have counts for
3 papers
q-fin.RM2015★ 8 cited
Singular Problems for Integro-Differential Equations in Dynamic Insurance Models
Tatiana Belkina, Nadezhda Konyukhova, Sergey Kurochkin
A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditi…
q-fin.PM2015
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
Tatiana Belkina, Shangzhen Luo
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company…
q-fin.PM2011
Optimal Constrained Investment in the Cramer-Lundberg model
Tatiana Belkina, Christian Hipp, Shangzhen Luo +1
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset…