Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process

DOI10.1016/j.amc.2014.12.042zbMath1390.91195OpenAlexW1984777098MaRDI QIDQ1636928

Wu Zhao, Ping Li, Wei Zhou

Publication date: 7 June 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.042

zbMATH Keywords

ruin probabilityvalue-at-riskexponential martingaleexponential Lévy processuniform integrable martingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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