Ruin theory with stochastic return on investments

DOI10.2307/1427849zbMath0892.90046MaRDI QIDQ4385145

Jostein Paulsen, Håkon K. Gjessing

Publication date: 11 June 1998

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427849

zbMATH Keywords

integro-differential equations; diffusion process; risk process; stochastic interest rate; time of ruin

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B62: Economic growth models

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