An insurance risk model with stochastic volatility (Q659182)
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scientific article; zbMATH DE number 6004671
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An insurance risk model with stochastic volatility |
scientific article; zbMATH DE number 6004671 |
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An insurance risk model with stochastic volatility (English)
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10 February 2012
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discounted penalty function
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integro-differential equation
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singular perturbation theory
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stochastic volatility
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perturbed compound Poisson risk process
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phase-type distribution
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Ornstein-Uhlenbeck process
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