The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10255-005-0226-y.pdf
Reference6 articles.
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3. Embrechts, P., Klüppelberg, C., Mikosch, T. Modelling Extremal Events for Insurance and Finance. Springer-Verlag, Berlin, 1997
4. Nyrhinen, H. On the ruin probabilities in a general economic environment. Stochastic Processes and their Applications, 83:319–330 (1999)
5. Nyrhinen, H. Finite and infinite time ruin probabilities in a stochastic economic environment. Stochastic Processes and their Applications, 92:265–285 (2001)
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