Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

DOI10.1239/aap/1240319582zbMath1162.60014OpenAlexW1998049386MaRDI QIDQ3625652

Christopher C. Heyde, Ding Cheng Wang

Publication date: 6 May 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1240319582

zbMATH Keywords

Lévy processclaimfinite-time ruin probabilityinvestment returnself-financing portfolioPoisson risk modelregularly varying tail

Mathematics Subject Classification ID

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