Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

DOI10.1007/S00780-007-0044-6zbMath1164.60036OpenAlexW2143422360MaRDI QIDQ1003334

Andrea Höing, Jeffrey F. Collamore

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://curis.ku.dk/portal/da/publications/smalltime-ruin-for-a-financial-process-modulated-by-a-harris-recurrent-markov-chain(edba3bc0-960d-11de-8bc9-000ea68e967b).html

zbMATH Keywords

large deviationsubexponential distributionsMarkov chainruin probabilityGARCH processesrespective operation risk model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)

Related Items (1)

Sample-path large deviations for a class of heavy-tailed Markov-additive processes

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