Approximation of ruin probability and ruin time in discrete Brownian risk models
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Publication:5140646
DOI10.1080/03461238.2020.1725911zbMath1454.91193arXiv2001.10311OpenAlexW3006496819MaRDI QIDQ5140646
Publication date: 16 December 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.10311
Brownian motioncumulative Parisian ruinruin time approximationParisian ruin probability\( \gamma \)-reflected risk model
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)
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Cites Work
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