Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (Q3625652)
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scientific article; zbMATH DE number 5551340
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| English | Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims |
scientific article; zbMATH DE number 5551340 |
Statements
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (English)
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6 May 2009
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finite-time ruin probability
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investment return
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Lévy process
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Poisson risk model
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self-financing portfolio
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regularly varying tail
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claim
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0.8667339086532593
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0.844032883644104
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0.8436614871025085
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0.8423557877540588
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0.8380489945411682
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