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

DOI10.1111/J.1467-9965.1993.TB00038.XzbMATH Open0884.90036OpenAlexW2053371807MaRDI QIDQ4372000FDOQ4372000

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

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zbMATH Keywords

financial marketscompound Poisson processnegative driftjump distributionexact ruin probabilities

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
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• Aspects of risk theory

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