On ruin probabilities with risky investments in a stock with stochastic volatility

DOI10.1007/S10687-021-00420-8zbMath1493.60072arXiv2012.05083OpenAlexW3165371116MaRDI QIDQ825994

Anastasiya Ellanskaya, Youri M.Kabanov

Publication date: 18 December 2021

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.05083

zbMATH Keywords

stochastic volatilityhidden Markov modelregime switchingruin probabilitiesimplicit renewal theorytelegraph signal

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial mathematics (91G05)

Related Items (1)

On ruin probabilities with investments in a risky asset with a regime-switching price

Cites Work

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