Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
| Year of publication: |
2007
|
|---|---|
| Authors: | Collamore, Jeffrey ; Höing, Andrea |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 3, p. 299-322
|
| Publisher: |
Springer |
| Subject: | Ruin probabilities | Large deviations | Subexponential distributions | GARCH processes | Repetitive operational risk modeling |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390688