The win-first probability under interest force
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Publication:817279
DOI10.1016/j.insmatheco.2005.06.004zbMath1129.60314MaRDI QIDQ817279
Stéphane Loisel, Didier Rullière
Publication date: 8 March 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.004
ruin probability; hazard rate; constant interest force; risk-return indicator; upper absorbing barrier; win-first probability
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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Cites Work
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