Ruin probabilities and penalty functions with stochastic rates of interest
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Publication:2485766
DOI10.1016/J.SPA.2004.01.007zbMath1070.60043OpenAlexW2030125760MaRDI QIDQ2485766
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.01.007
Brownian motionCompound Poisson processLévy processIntegral equationIntegro-differential equationSubordinatorRuin theory
Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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