MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
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Publication:4450390
DOI10.1017/S0269964803172026zbMath1065.62182OpenAlexW1989990490MaRDI QIDQ4450390
Publication date: 15 February 2004
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964803172026
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)
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