An insurance risk model with stochastic volatility (Q659182)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An insurance risk model with stochastic volatility |
scientific article |
Statements
An insurance risk model with stochastic volatility (English)
0 references
10 February 2012
0 references
discounted penalty function
0 references
integro-differential equation
0 references
singular perturbation theory
0 references
stochastic volatility
0 references
perturbed compound Poisson risk process
0 references
phase-type distribution
0 references
Ornstein-Uhlenbeck process
0 references