Risk modelling on liquidations with Lévy processes
From MaRDI portal
Publication:2246056
DOI10.1016/j.amc.2021.126584MaRDI QIDQ2246056
Wenyuan Wang, Aili Zhang, Shuanming Li, Ping Chen
Publication date: 15 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.01426
spectrally negative Lévy process; expected discounted penalty function; discounted joint probability density; liquidation probability; liquidation time
60G51: Processes with independent increments; Lévy processes
91B05: Risk models (general)
91G05: Actuarial mathematics
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