The survival probability in the Cramér-Lundberg model with exponential claims and proportional investment is expressed explicitly using Heun functions after the governing integro-differential equation reduces to a doubly confluent Heun equation.
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Exact solution of the ruin problem in the Cram\'er--Lundberg model with proportional investment
The survival probability in the Cramér-Lundberg model with exponential claims and proportional investment is expressed explicitly using Heun functions after the governing integro-differential equation reduces to a doubly confluent Heun equation.