Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
Year of publication: |
2022
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Authors: | Liu, Yuxuan ; Jiang, Zhengjun ; Qu, Yixin |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 8, p. 682-694
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Subject: | Banach contraction principle | Markov-modulated jump-diffusion risk model | q-scale function | Two-sided ruin probability | Risikomodell | Risk model | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk |
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