Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process

DOI10.1007/S00780-019-00413-3zbMath1430.91031OpenAlexW2992668309MaRDI QIDQ2282962

Youri M.Kabanov, Serguei Pergamenchtchikov

Publication date: 27 December 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-019-00413-3

zbMATH Keywords

renewal theoryLévy processdual modelsruin probabilitiesprice processdistributional equationautoregression with random coefficients

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Risk models (general) (91B05)

Related Items (8)

On ruin probabilities with risky investments in a stock with stochastic volatility ⋮ Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior ⋮ On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ An Asymptotic Result on Catastrophe Insurance Losses ⋮ Ruin probabilities for a Sparre Andersen model with investments

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