On ruin probabilities with investments in a risky asset with a regime-switching price
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Publication:2675817
DOI10.1007/s00780-022-00483-wzbMath1498.91361arXiv2110.08784OpenAlexW4294612799MaRDI QIDQ2675817
Youri M.Kabanov, Serguei Pergamenchtchikov
Publication date: 26 September 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.08784
stochastic volatilityhidden Markov modelregime switchingruin probabilitiesimplicit renewal theoryrisky investments
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