Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
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Publication:5205954
DOI10.1017/jpr.2019.71zbMath1432.91099arXiv1710.01845OpenAlexW2995203261WikidataQ115563653 ScholiaQ115563653MaRDI QIDQ5205954
Andrey Sarantsev, Pierre-Olivier Goffard
Publication date: 17 December 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.01845
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Actuarial mathematics (91G05) Jump processes on general state spaces (60J76)
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