Ruin probability in the Cramér-Lundberg model with risky investments
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Publication:544507
DOI10.1016/j.spa.2011.01.008zbMath1236.91087MaRDI QIDQ544507
Publication date: 15 June 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.01.008
martingale methods; ruin probability; geometric Brownian motion; Cramér--Lundberg model; risky investments
60J25: Continuous-time Markov processes on general state spaces
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