On ruin probabilities with investments in a risky asset with a regime-switching price
Yuri Kabanov, Sergey Pergamenshchikov
| Year of publication: |
2022
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|---|---|
| Authors: | Kabanov, Jurij M. ; Pergamenščikov, Sergej M. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 877-897
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| Subject: | Hidden Markov model | Implicit renewal theory | Regime switching | Risky investments | Ruin probabilities | Stochastic volatility | Markov-Kette | Markov chain | Theorie | Theory | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitalanlage | Financial investment | Finanzanalyse | Financial analysis | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-022-00483-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440255