scientific article; zbMATH DE number 1423207

zbMATH Open0942.62119MaRDI QIDQ4946947FDOQ4946947

Bernhard Gittenberger

Publication date: 24 August 2000

Title of this publication is not available (Why is that?)

zbMATH Keywords

change of measureruin theoryderivative securitiesMarkov modulated risk process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (1)

• Ruin theory with risk proportional to the free reserve and securitization

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