Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
type: Item
instance of: scholarly article
title: Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
zbMATH Open document ID: 1390.91195
author: Ping Li
author: Wu Zhao
author: Wei Zhou
published in: Applied Mathematics and Computation
publication date: 2018-06-07T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6881786
zbMATH Keywords: ruin probability
zbMATH Keywords: exponential Lévy process
zbMATH Keywords: exponential martingale
zbMATH Keywords: uniform integrable martingale
zbMATH Keywords: value-at-risk
MaRDI profile type: Publication
full work available at URL: j.amc.2014.12.042
OpenAlex ID: W1984777098
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DOI: 10.1016/J.AMC.2014.12.042
description: scientific article; zbMATH DE number 6881786