From ruin theory to pricing reset guarantees and perpetual put options (Q1293806): Difference between revisions
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| Property / cites work: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option / rank | |||
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| Property / cites work: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin / rank | |||
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| Property / cites work: On the Time Value of Ruin / rank | |||
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| Property / cites work: Pricing Perpetual Options for Jump Processes / rank | |||
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| Property / cites work: Q4481936 / rank | |||
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Latest revision as of 20:05, 28 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | From ruin theory to pricing reset guarantees and perpetual put options |
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From ruin theory to pricing reset guarantees and perpetual put options (English)
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10 July 2000
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collective risk theory
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surplus process
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ruin probability
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Lundberg's fundamental equation
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Laplace transforms
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martingales
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optional sampling theorem
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