Ruin problems with assets and liabilities of diffusion type

DOI10.1016/S0304-4149(98)00103-3zbMath0962.60075MaRDI QIDQ1593636

Ragnar Norberg

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

martingales; finance; actuarial risk theory; functionals of Brownian motions

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

60J60: Diffusion processes

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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