In the insurance business risky investments are dangerous: the case of negative risk sums

DOI10.1007/s00780-016-0292-4zbMath1342.60105arXiv1505.04331OpenAlexW2308362868MaRDI QIDQ287663

Youri M.Kabanov, Serguei Pergamenchtchikov

Publication date: 23 May 2016

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

Full work available at URL: https://arxiv.org/abs/1505.04331

zbMATH Keywords

Brownian motionrandom coefficientsfinancial marketsexponential functionalautoregressionexit probabilitynegative risk sums models

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (16)

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