Approximating the classical risk process by stable Lévy motion
Jingyi Cao, Virginia R. Young
| Year of publication: |
2023
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|---|---|
| Authors: | Cao, Jingyi ; Young, Virginia R. |
| Subject: | Cramér-Lundberg risk process | Laplace exponent | scale functions | spectrally negative Lévy process | α-stable Lévy motion | Stochastischer Prozess | Stochastic process | Risiko | Risk | Finanzmathematik | Mathematical finance | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2022.2142157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014383892