Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

DOI10.1007/S00780-007-0044-6zbMATH Open1164.60036OpenAlexW2143422360MaRDI QIDQ1003334FDOQ1003334

Authors: Jeffrey F. Collamore, Andrea Höing 

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://curis.ku.dk/portal/da/publications/smalltime-ruin-for-a-financial-process-modulated-by-a-harris-recurrent-markov-chain(edba3bc0-960d-11de-8bc9-000ea68e967b).html

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zbMATH Keywords

Markov chainlarge deviationruin probabilitysubexponential distributionsGARCH processesrespective operation risk model

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited In (1)

• Sample-path large deviations for a class of heavy-tailed Markov-additive processes

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