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A risk model driven by Lévy processes - MaRDI portal

A risk model driven by Lévy processes (Q4827960)

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scientific article; zbMATH DE number 2118495
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English
A risk model driven by Lévy processes
scientific article; zbMATH DE number 2118495

    Statements

    title
    A risk model driven by Lévy processes (English)
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    author
    Manuel Morales
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    Wim Schoutens
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    publication date
    24 November 2004
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    zbMATH Keywords
    risk theory
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    risk reserve process
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    ruin probabilities
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    random process with independent increments
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    Lévy processes
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    time changed Brownian motion
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    martingale
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    simulation
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    Identifiers

    DOI
    10.1002/asmb.492
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    Mathematics Subject Classification ID
    60G51
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    62P05
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    91B30
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    zbMATH DE Number
    2118495
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    OpenAlex ID
    W1965850875
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