Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets

DOI10.1111/J.1467-9965.1993.TB00038.XMaRDI QIDQ4372000zbMATH OpenOpenAlexFDO

Authors D. P. Kennedy

Publication date 1993

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00038.x

zbMATH Keywords

financial marketscompound Poisson processnegative driftjump distributionexact ruin probabilities

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• Aspects of risk theory

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