scientific article

zbMath1439.91016MaRDI QIDQ3303405

Maria-Emilia Caballero

Publication date: 11 August 2020

Full work available at URL: https://miscelaneamatematica.org/welcome/default/download/tbl_articulos.pdf2.a63909503b436b94.363030332e706466.pdf

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Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Risk models (general) (91B05)

Cites Work

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• Explicit identities for Lévy processes associated to symmetric stable processes
• Exact and asymptotic \(n\)-tuple laws at first and last passage
• An optimal investment strategy with maximal risk aversion and its ruin probability
• The gambler's ruin problem with delays
• Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS

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