Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies (Q1757966)
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scientific article; zbMATH DE number 6102799
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| English | Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies |
scientific article; zbMATH DE number 6102799 |
Statements
Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies (English)
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7 November 2012
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Cox-Ingersoll-Ross model
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jump-diffusion model
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optimal investment
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Ornstein-Uhlenbeck (O-U) process
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ruin probability
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stochastic interest rate
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0.8423854112625122
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0.8295168280601501
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0.8164894580841064
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0.8162552118301392
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0.8162011504173279
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