On the distribution tail of an integrated risk model: A numerical approach (Q939337)
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scientific article; zbMATH DE number 5315266
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| English | On the distribution tail of an integrated risk model: A numerical approach |
scientific article; zbMATH DE number 5315266 |
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On the distribution tail of an integrated risk model: A numerical approach (English)
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22 August 2008
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exponential Lévy process
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finite difference method
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integrated insurance risk process
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integrated risk management
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optimal investment strategy
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value-at-risk
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partial integro-differential equation
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tail behaviour
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0.8518347144126892
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0.8106988668441772
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0.7780054211616516
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0.771638035774231
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