Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
Yuxuan Liu, Zhengjun Jiang and Yixin Qu
| Year of publication: |
2022
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| Authors: | Liu, Yuxuan ; Jiang, Zhengjun ; Qu, Yixin |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 8, p. 682-694
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| Subject: | Banach contraction principle | Markov-modulated jump-diffusion risk model | q-scale function | Two-sided ruin probability | Risikomodell | Risk model | Theorie | Theory | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Versicherungsmathematik | Actuarial mathematics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2021.2025145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013370732