A discussion on Buhlmann's criterion for asset valuation.

DOI10.1016/S0167-6687(01)00100-7zbMath1074.91540OpenAlexW2087276491MaRDI QIDQ1413304

Nan Wang, Wei Kwang Huang, Wan-Kai Pang

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00100-7

zbMATH Keywords

Random walkAsset valuationRuin

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cites Work

• When does the surplus reach a given target?
• From ruin theory to pricing reset guarantees and perpetual put options
• Exact solutions for ruin probability in the presence of an absorbing upper barrier
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