Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies (Q1757966): Difference between revisions

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Latest revision as of 20:04, 5 July 2024

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Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies
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    Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies (English)
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    7 November 2012
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    Cox-Ingersoll-Ross model
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    jump-diffusion model
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    optimal investment
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    Ornstein-Uhlenbeck (O-U) process
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    ruin probability
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    stochastic interest rate
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