Stochastic calculus in a risk model with stochastic return on investments

DOI10.1080/17442508.2019.1708912zbMath1490.60239OpenAlexW2998484519WikidataQ126412752 ScholiaQ126412752MaRDI QIDQ5086621

Moncef Elghribi

Publication date: 6 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1708912

zbMATH Keywords

Laplace transformintegro-differential equationrisk processruin theorystochastic return

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Local time and additive functionals (60J55) Transition functions, generators and resolvents (60J35) Actuarial mathematics (91G05)

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Cites Work

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