Upper bound for finite-time ruin probability in a Markov-modulated market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-010-8348-6.pdf
Reference14 articles.
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3. J. Gaier, P. Grandits, and W. Schachermayer, Asymptotic ruin probability and optimal investment, Annals of Applied Probability, 2003, 13: 1054–1076.
4. C. Hipp and H. Schmidli, Asymptotics of ruin probabilities for controlled risk processes in the small claims case, Scandinavian Actuarial Journal, 2004, 5: 321–335.
5. H. L. Yang and L. H. Zhang, Optimal investment for insurer with jump-diffusion risk process, Insurance: Mathematics and Economics, 2005, 37: 615–634.
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