Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process

DOI10.1007/s00780-019-00413-3zbMath1430.91031OpenAlexW2992668309MaRDI QIDQ2282962

Youri M.Kabanov, Serguei Pergamenchtchikov

Publication date: 27 December 2019

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

Full work available at URL: https://doi.org/10.1007/s00780-019-00413-3

zbMATH Keywords

renewal theoryLévy processdual modelsruin probabilitiesprice processdistributional equationautoregression with random coefficients

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Risk models (general) (91B05)

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