Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Yuri Kabanov, Serguei Pergamenshchikov
| Year of publication: |
2020
|
|---|---|
| Authors: | Kabanov, Jurij M. ; Pergamenshchikov, Serguei |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 1, p. 39-69
|
| Subject: | Ruin probabilities | Dual models | Price process | Renewal theory | Distributional equation | Autoregression with random coefficients | Lévy process | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Risiko | Risk |