ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS (Q3393972)
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scientific article; zbMATH DE number 5599336
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| English | ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS |
scientific article; zbMATH DE number 5599336 |
Statements
ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS (English)
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28 August 2009
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dynamical VaR
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ruin probabilities
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Lundberg exponent
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diffusion processes with jumps
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0.800719678401947
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0.7921838164329529
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0.7771202921867371
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0.7762729525566101
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0.775775134563446
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