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Equation for survival probability in a finite time interval in case of non-zero real interest force. (English) Zbl 0961.91023

Summary: In the present paper an integro-differential equation for survival probability in a finite time interval is derived. Explicit solution of this equation is presented in case of exponential claim amounts and zero real interest force.

MSC:

91B30 Risk theory, insurance (MSC2010)
45K05 Integro-partial differential equations
62P05 Applications of statistics to actuarial sciences and financial mathematics
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References:

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