Ruin theory with stochastic return on investments
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Publication:4385145
DOI10.2307/1427849zbMath0892.90046MaRDI QIDQ4385145
Jostein Paulsen, Håkon K. Gjessing
Publication date: 11 June 1998
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1427849
integro-differential equations; diffusion process; risk process; stochastic interest rate; time of ruin
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B62: Economic growth models
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