Conditional Ruin Probability with a Markov Regime Switching Model
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-22833-9_35.pdf
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3. Ka-Fai: Optimal portfolios with regime-switching and Value-at-risk constrain. Automatica 46, 979–989 (2010)
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