The time to ruin for a class of Markov additive risk process with two-sided jumps (Q5475377): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1239/aap/1134587749
+Normal rank
@@ Property / OpenAlex ID @@
+W2062126404
@@ Property / OpenAlex ID: W2062126404 / rank @@
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
+Normal rank
@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
+Normal rank
@@ Property / cites work @@
+Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities for Erlang (2) risk processes
@@ Property / cites work: Ruin probabilities for Erlang (2) risk processes / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-time Lundberg inequalities in the Cox case
@@ Property / cites work: Finite-time Lundberg inequalities in the Cox case / rank @@
+Normal rank
@@ Property / cites work @@
+Exit problem for a spectrally positive process
@@ Property / cites work: Exit problem for a spectrally positive process / rank @@
+Normal rank
@@ Property / cites work @@
+On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments
+Normal rank
@@ Property / cites work @@
+Martingales and the distribution of the time to ruin.
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+Q3526631
@@ Property / cites work: Q3526631 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4850018
@@ Property / cites work: Q4850018 / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
+Normal rank
@@ Property / cites work @@
+Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
+Normal rank