Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Year of publication: |
2007
|
---|---|
Authors: | Collamore, Jeffrey ; Höing, Andrea |
Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 3, p. 299-322
|
Publisher: |
Springer |
Subject: | Ruin probabilities | Large deviations | Subexponential distributions | GARCH processes | Repetitive operational risk modeling |
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